Pricing and trading credit default swaps in a hazard process model
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Publication:2378639
DOI10.1214/00-AAP520zbMATH Open1158.91011arXiv0901.2390OpenAlexW3105852387MaRDI QIDQ2378639FDOQ2378639
Authors: Marek Rutkowski, Tomasz R. Bielecki, Monique Jeanblanc 
Publication date: 13 January 2009
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: In the paper we study dynamics of the arbitrage prices of credit default swaps within a hazard process model of credit risk. We derive these dynamics without postulating that the immersion property is satisfied between some relevant filtrations. These results are then applied so to study the problem of replication of general defaultable claims, including some basket claims, by means of dynamic trading of credit default swaps.
Full work available at URL: https://arxiv.org/abs/0901.2390
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hedginghypothesis Hdefaultable claimsCredit default swapsfirst-to-default claimsimmersion of filtrations
Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24)
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Cited In (43)
- Pricing credit default swaps under a multi-scale stochastic volatility model
- Valuation of credit default swaptions and credit default index swaptions
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- Tempered stable structural model in pricing credit spread and credit default swap
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- CASH-SETTLED SWAPTIONS: A NEW PRICING MODEL
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