M. Arnsdorf and I. Halperin, BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives, The Journal of Computational Finance, vol.12, issue.2, pp.77-107, 2008.
DOI : 10.21314/JCF.2008.179
URL : http://arxiv.org/abs/0901.3398

T. Bielecki, S. Crépey, and M. Jeanblanc, Up and down credit risk, Quantitative Finance, vol.12, issue.10, pp.1137-1151, 2010.
DOI : 10.1142/S0219024907004408

T. Bielecki, M. Jeanblanc, and M. Rutkowski, Pricing and trading credit default swaps in a hazard process model, The Annals of Applied Probability, vol.18, issue.6, pp.2495-2529, 2008.
DOI : 10.1214/00-AAP520

D. Brigo and M. Morini, Arbitrage-Free Pricing of Credit Index Options: The No-Armageddon Pricing Measure and the Role of Correlation after the Subprime Crisis, SSRN Electronic Journal, 2008.
DOI : 10.2139/ssrn.1080064

R. Cont, MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS, Mathematical Finance, vol.1856, issue.1, pp.519-547, 2006.
DOI : 10.1287/moor.1040.0138
URL : https://hal.archives-ouvertes.fr/halshs-00002695

R. Cont, R. Deguest, and Y. H. Kan, Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration, SIAM Journal on Financial Mathematics, vol.1, issue.1, pp.555-585, 2010.
DOI : 10.1137/09076800X
URL : https://hal.archives-ouvertes.fr/hal-00545744

R. Cont and A. Minca, Recovering Portfolio Default Intensities Implied by CDO Tranches, Financial Engineering Report 2008-01, 2008.
DOI : 10.1111/j.1467-9965.2011.00491.x
URL : https://hal.archives-ouvertes.fr/hal-00413730/file/contmincaArxiv.pdf

R. Cont, P. Tankov, and E. Voltchkova, Hedging with options in presence of jumps, in Stochastic Analysis and Applications: The Abel Symposium, pp.197-218, 2005.

D. Duffie and N. Gârleanu, Risk and valuation of collateralized debt obligations, Financial Anal, J, vol.57, pp.41-59, 2001.

P. Durand and J. Jouanin, Some short elements on hedging credit derivatives, ESAIM: Probability and Statistics, vol.11, pp.23-34, 2007.
DOI : 10.1051/ps:2007003

A. Eckner, Computational techniques for basic affine models of portfolio credit risk, The Journal of Computational Finance, vol.13, issue.1, pp.63-97, 2009.
DOI : 10.21314/JCF.2009.200

E. Errais, K. Giesecke, and L. R. Goldberg, Affine Point Processes and Portfolio Credit Risk, SIAM Journal on Financial Mathematics, vol.1, issue.1, pp.642-665, 2010.
DOI : 10.1137/090771272

H. Föllmer and D. Sondermann, Hedging of nonredundant contingent claims, Contributions to Mathematical Economics, pp.205-223, 1986.

R. Frey and J. Backhaus, Dynamic hedging of synthetic CDO tranches with spread risk and default contagion, Journal of Economic Dynamics and Control, vol.34, issue.4, pp.710-724, 2010.
DOI : 10.1016/j.jedc.2009.10.013

K. Giesecke, L. Goldberg, and X. Ding, A Top-Down Approach to Multi-Name Credit, SSRN Electronic Journal, vol.59, 2011.
DOI : 10.2139/ssrn.1142152

A. Herbertsson, Pricing synthetic CDO tranches in a model with default contagion the matrix analytic approach, The Journal of Credit Risk, vol.4, issue.4, pp.3-35, 2008.
DOI : 10.21314/JCR.2008.078

J. Laurent, A. Cousin, and J. Fermanian, Hedging Default Risks of CDOs in Markovian Contagion Models, working paper, 2008.

D. Li, On Default Correlation, The Journal of Fixed Income, vol.9, issue.4, pp.43-54, 2000.
DOI : 10.3905/jfi.2000.319253

D. Li, Base correlation, in Encyclopedia of Quantitative Finance, 2010.

A. V. Lopatin and T. Misirpashaev, Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss, Econometrics and Risk Management, pp.243-274, 2008.
DOI : 10.1016/S0731-9053(08)22010-4

S. Morgan and A. Mortensen, CDO Hedging Anomalies in the Base Correlation Approach, 2007.

T. Møller, Risk-minimizing hedging strategies for insurance payment process, Finance Stoch, pp.419-446, 2001.

M. Neugebauer, J. Carter, R. Hrvatin, T. Cunningham, and R. Hardee, Understanding and Hedging Risks in Synthetic CDO Tranches, 2006.

P. Schönbucher, Portfolio Losses and the Term Structure of Loss Transition Rates: A New Methodology for the Pricing of Portfolio Credit Derivatives, working paper, 2005.