Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices

DOI10.1080/15326340600878313zbMath1211.91243OpenAlexW1966247368MaRDI QIDQ3424144

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

Publication date: 15 February 2007

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340600878313

zbMATH Keywords

semimartingalescredit riskreplicationdefault intensitydefaultable claims

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Credit risk (91G40)

Related Items (6)

Random Time with Differentiable Conditional Distribution Function ⋮ Unit-linked life insurance policies: optimal hedging in partially observable market models ⋮ The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims ⋮ DEFAULT AND SYSTEMIC RISK IN EQUILIBRIUM ⋮ What happens after a default: the conditional density approach ⋮ Arbitrage-free pricing of derivatives in nonlinear market models

Cites Work

• A partial introduction to financial asset pricing theory.
• Hazard rate for credit risk and hedging defaultable contingent claims
• A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
• A General Formula for Valuing Defaultable Securities
• PDE approach to valuation and hedging of credit derivatives
• Unnamed Item

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