PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL

DOI10.1142/S0219024907004408zbMath1291.91223WikidataQ126235656 ScholiaQ126235656MaRDI QIDQ5169987

Youssef Elouerkhaoui

Publication date: 17 July 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

marked point process; dynamic hedging; common Poisson shocks; top-down approach; Marshall-Olkin model; dynamic copula; asymptotic series expansion; market incompleteness; quadratic risk minimization; Föllmer-Sondermann approach; forward skew

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G20: Derivative securities (option pricing, hedging, etc.)

91G10: Portfolio theory

91G40: Credit risk

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Cites Work

• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• Analytical value-at-risk with jumps and credit risk