PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES

DOI10.1142/S0219024907004640zbMath1141.91465MaRDI QIDQ3503044

Marek Rutkowski, Khan Yousiph

Publication date: 20 May 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

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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, Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models

Cites Work

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• A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
• Hedging of Credit Derivatives in Models with Totally Unexpected Default
• PDE approach to valuation and hedging of credit derivatives
• Credit risk: Modelling, valuation and hedging