Hedging of Credit Derivatives in Models with Totally Unexpected Default

DOI10.1142/9789812774637_0002MaRDI QIDQ5487016zbMATHOpenAlexFDO

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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(18)

• Default barrier intensity model for credit risk evaluation
• PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES
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• STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS
• PDE approach to valuation and hedging of credit derivatives
• Partially informed investors: hedging in an incomplete market with default
• Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times
• Unit-linked life insurance policies: optimal hedging in partially observable market models
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• Recursive backward scheme for the solution of a BSDE with a non Lipschitz generator
• Pricing and trading credit default swaps in a hazard process model
• HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH
• Correlated intensity, counter party risks, and dependent mortalities
• Exposure at default models with and without the credit conversion factor
• Hedging default risks of CDOs in Markovian contagion models
• Infinite-server systems with Hawkes arrivals and Hawkes services
• Local risk-minimization for defaultable claims with recovery process

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