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Hedging of Defaultable Claims · Study

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ChapterHedging of Defaultable Claims

Tomasz R. Bielecki2004

Chapter2004

Hedging of Defaultable Claims

Tomasz R. Bielecki · Monique Jeanblanc · Marek Rutkowski

105 citations·0/0 files stored·Lecture notes in mathematics

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Stochastic processes and financial applications Credit Risk and Financial Regulations Risk and Portfolio Optimization

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2007Brownian Motion and Stochastic Calculus 2005Stochastic Integration and Differential Equations 1993Dynamic Asset Pricing Theory.1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 1997Backward Stochastic Differential Equations in Finance 1999Stochastic controls : Hamiltonian systems and HJB equations 1998On cox processes and credit risky securities

Cited by

2009Dynamic hedging of synthetic CDO tranches with spread risk and default contagion 2011Exponential Utility Maximization in an Incomplete Market with Defaults 2008Pricing and trading credit default swaps in a hazard process model 2010Up and down credit risk 2005PRICING AND TRADING CREDIT DEFAULT SWAPS IN A HAZARD PROCESS MODEL 2012Dynamic Hedging in Incomplete Markets: A Simple Solution

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2010Paris-Princeton Lectures on Mathematical Finance 2010book · 28 shared references 2005Credit risk modeling with affine processesarticle · 11 shared references 2011Exponential Utility Maximization in an Incomplete Market with Defaultsarticle · 11 shared references 2004Modeling and Valuation of Credit Riskchapter · 11 shared references 2007Beyond Hazard Rates: A New Framework for Credit-Risk Modellingchapter · 9 shared references 2005A Top-Down Approach to Multi-Name Creditpreprint · 8 shared references

Details

Year2004

Typechapter

Published2004-01-01

VenueLecture notes in mathematics

ISSN-L0075-8434

Languageen

Citations105

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-540-44468-8_1

openalex_workW2486885342

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2010

CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP

2008Systematic equity-based credit risk: A CEV model with jump to default