PDE approach to valuation and hedging of credit derivatives

DOI10.1080/14697680500149297zbMath1134.91398OpenAlexW2101766213MaRDI QIDQ5711164

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

Publication date: 9 December 2005

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680500149297

zbMATH Keywords

hedgingvaluationcredit derivativesPDE approach

Mathematics Subject Classification ID

Related Items (22)

Pricing and trading credit default swaps in a hazard process model ⋮ From insurance risk to credit portfolio management: a new approach to pricing CDOs ⋮ Optimal investment and consumption with default risk: HARA utility ⋮ INFORMATION AND OPTIMAL INVESTMENT IN DEFAULTABLE ASSETS ⋮ PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES ⋮ Notes on backward stochastic differential equations for computing XVA ⋮ Reflected BSDEs with random default time and related mixed optimal stopping-control problems ⋮ Valuation of portfolio credit derivatives with default intensities using the Vasicek model ⋮ American options in an imperfect complete market with default ⋮ NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS ⋮ MULTI-CURRENCY CREDIT DEFAULT SWAPS ⋮ Funding, repo and credit inclusive valuation as modified option pricing ⋮ BSDEs with polynomial growth generators in a defaultable market ⋮ CVA and vulnerable options pricing by correlation expansions ⋮ Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison ⋮ Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities ⋮ Analytical valuation of vulnerable European and Asian options in intensity-based models ⋮ American options in nonlinear markets ⋮ CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK ⋮ Quantile hedging in a defaultable market with life insurance applications ⋮ Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices ⋮ On a convergent power series method to price defaultable bonds in a Vašíček-CIR model

Cites Work

• Dependent defaults and credit migrations

This page was built for publication: PDE approach to valuation and hedging of credit derivatives