scientific article; zbMATH DE number 2133104

zbMATH Open1061.60064MaRDI QIDQ3160495FDOQ3160495

Authors: Tomasz R. Bielecki, Marek Rutkowski, Monique Jeanblanc 

Publication date: 9 February 2005

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

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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 (15)

• Local risk-minimization for defaultable claims with recovery process
• Systematic equity-based credit risk: A CEV model with jump to default
• Credit risk: Modelling, valuation and hedging
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• PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES
• Quadratic hedging methods for defaultable claims
• Hedging of Credit Derivatives in Models with Totally Unexpected Default
• A Note on Credit Insurance
• Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives
• Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices
• PDE approach to valuation and hedging of credit derivatives

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