scientific article; zbMATH DE number 2133104

zbMATH Open1061.60064MaRDI QIDQ3160495FDOQ3160495

Monique Jeanblanc, Marek Rutkowski, Tomasz R. Bielecki

Publication date: 9 February 2005

Title of this publication is not available (Why is that?)

zbMATH Keywords

credit riskmathematical financedefaultable claimpricing and hedginghazard process

Mathematics Subject Classification ID

Credit risk (91G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cited In (5)

• Local risk-minimization for defaultable claims with recovery process
• Systematic equity-based credit risk: A CEV model with jump to default
• Some short elements on hedging credit derivatives
• Quadratic hedging methods for defaultable claims
• Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives

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