Hedging of Credit Derivatives in Models with Totally Unexpected Default

DOI10.1142/9789812774637_0002zbMATH Open1186.91190OpenAlexW2145743997MaRDI QIDQ5487016FDOQ5487016

Marek Rutkowski, Tomasz R. Bielecki, 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)

Cited In (17)

• Local risk-minimization for defaultable claims with recovery process
• Hedging default risks of CDOs in Markovian contagion models
• Unit-linked life insurance policies: optimal hedging in partially observable market models
• 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
• LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES
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• Correlated intensity, counter party risks, and dependent mortalities
• PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES
• Default barrier intensity model for credit risk evaluation
• Exposure at default models with and without the credit conversion factor
• Hedging of a credit default swaption in the CIR default intensity model
• Infinite-server systems with Hawkes arrivals and Hawkes services
• HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH
• 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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