Hedging of Credit Derivatives in Models with Totally Unexpected Default

DOI10.1142/9789812774637_0002MaRDI QIDQ5487016zbMATH OpenOpenAlexFDO

Authors Tomasz R. Bielecki, Marek Rutkowski, Monique Jeanblanc

Publication date 18 September 2006

Published in Stochastic Processes and Applications to Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/187489805e49f73c6f8d4f920db8340b89ab04a6

zbMATH Keywords

arbitrage pricingcredit riskhedgingdefault intensity

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80)

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• Recursive backward scheme for the solution of a BSDE with a non Lipschitz generator
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• HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH
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• PDE approach to valuation and hedging of credit derivatives
• STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS
• Partially informed investors: hedging in an incomplete market with default
• Hedging and utility valuation of a defaultable claim driven by Hawkes processes

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