PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES

The goal of this work is to examine the PDE approach to the valuation and hedging of defaultable claims in a Markovian model of credit risk. Our approach is based on the previous work by Bielecki et al. [3]. We extend the results in [3] by considering a general credit risk model, in which the number of traded assets, the dimension of the driving Brownian motion, as well as the number of default times are arbitrary.

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Year of publication:	2007
Authors:	RUTKOWSKI, MAREK ; YOUSIPH, KHAN
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 10.2007, 08, p. 1261-1285
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Credit risk \| PDE approach \| basket credit derivatives

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005050509