Pricing and trading credit default swaps in a hazard process model

DOI10.1214/00-AAP520zbMath1158.91011arXiv0901.2390OpenAlexW3105852387MaRDI QIDQ2378639

Marek Rutkowski, Tomasz R. Bielecki, Monique Jeanblanc-Picqué

Publication date: 13 January 2009

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0901.2390

zbMATH Keywords

hedginghypothesis Hdefaultable claimsCredit default swapsfirst-to-default claimsimmersion of filtrations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)

Related Items (26)

Modeling the Forward CDS Spreads with Jumps ⋮ Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching ⋮ Dynamic Hedging of Counterparty Exposure ⋮ Estimating the survival functions in a censored semi-competing risks model ⋮ COUNTERPARTY RISK FOR CREDIT DEFAULT SWAP WITH STATES RELATED DEFAULT INTENSITY PROCESSES ⋮ Binary funding impacts in derivative valuation ⋮ An enlargement of filtration formula with applications to multiple non-ordered default times ⋮ A Risk-Sharing Framework of Bilateral Contracts ⋮ Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives ⋮ Dynamic investment and counterparty risk ⋮ Local risk-minimization for defaultable claims with recovery process ⋮ MULTI-CURRENCY CREDIT DEFAULT SWAPS ⋮ VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL ⋮ Hedging of a credit default swaption in the CIR default intensity model ⋮ RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES ⋮ Optimal Investment Under Information Driven Contagious Distress ⋮ BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING ⋮ Linear credit risk models ⋮ Sato Processes in Default Modelling ⋮ On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization ⋮ Portfolio optimization of credit swap under funding costs ⋮ INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES ⋮ OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK ⋮ Dynkin Games with Poisson Random Intervention Times ⋮ ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS ⋮ VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS

Cites Work

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• On Models of Default Risk
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• A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
• Hedging of Credit Derivatives in Models with Totally Unexpected Default
• PDE approach to valuation and hedging of credit derivatives
• Credit risk: Modelling, valuation and hedging

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