Hedging of Credit Derivatives in Models with Totally Unexpected Default

DOI10.1142/9789812774637_0002zbMath1186.91190OpenAlexW2145743997MaRDI QIDQ5487016

Marek Rutkowski, Tomasz R. Bielecki, Monique Jeanblanc-Picqué

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

hedgingcredit riskarbitrage pricingdefault intensity

Mathematics Subject Classification ID

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

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