Hedging of a credit default swaption in the CIR default intensity model

DOI10.1007/s00780-010-0143-7zbMath1303.91184OpenAlexW2105365253MaRDI QIDQ483934

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

Publication date: 17 December 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-010-0143-7

zbMATH Keywords

hedgingCDS swaptionCIR intensity

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (7)

Modeling the Forward CDS Spreads with Jumps ⋮ Fast maximum likelihood estimation of parameters for square root and Bessel processes ⋮ Time-changed CIR default intensities with two-sided mean-reverting jumps ⋮ Bilateral credit valuation adjustment for large credit derivatives portfolios ⋮ Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling ⋮ ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS ⋮ Linear credit risk models

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