Dynamic hedging of synthetic CDO tranches with spread risk and default contagion

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Up and down credit risk (2010, background): “…the Markovian model described above, it is possible to replicate dynamically in continuous time any payoff provided that d non-redundant hedging instruments are available (see Frey and Backhaus 2007 or Bielecki et al. 2008; see also Laurent et al. 2007 for results in the special case where d¼ 1).”