Hedging of defaultable claims in a Markov regime-switching model

zbMATH Open1399.91115MaRDI QIDQ3175650FDOQ3175650

Xue Liang

Publication date: 18 July 2018

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• scientific article; zbMATH DE number 2133129
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zbMATH Keywords

Markov chainregime switchingrepresentation theoremreplicating strategy

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with continuous parameter (60G44)

Cited In (10)

• Hedging default risks of CDOs in Markovian contagion models
• Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models
• Title not available (Why is that?)
• Pricing and hedging contingent claims with regime switching risk
• Hedging of defaultable claims in a structural model using a locally risk-minimizing approach
• Optimal hedging when the underlying asset follows a regime-switching Markov process
• Residual risks and hedging strategies in Markovian markets
• Hedging of contingent claims written on non traded assets under Markov-modulated models
• Default Times in a Continuous-Time Markovian Regime Switching Model
• STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS

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