Hedging of a credit default swaption in the CIR default intensity model (Q483934)

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English	Hedging of a credit default swaption in the CIR default intensity model	scientific article

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scholarly article

Hedging of a credit default swaption in the CIR default intensity model (English)

Tomasz R. Bielecki

Marek Rutkowski

Monique Jeanblanc-Picqué

Finance and Stochastics

publication date

17 December 2014

zbMATH Keywords

CDS swaption

CIR intensity

hedging

MaRDI profile type

MaRDI publication profile

full work available at URL

https://doi.org/10.1007/s00780-010-0143-7

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mardi Publication:483934

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