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Defaultable options in a Markovian intensity model of credit risk

Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 493-518

Persistent link: https://www.econbiz.de/10003769008

Valuation of basket credit derivatives in the credit migrations environment

Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique - In: Financial engineering, (pp. 471-507). 2008

Persistent link: https://www.econbiz.de/10003567710

Hedging of defaultable claims

Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek - In: Paris Princeton lectures on mathematical finance 2 (2003), pp. 1-132

Persistent link: https://www.econbiz.de/10009357101

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

Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek - In: Finance and stochastics 15 (2011) 3, pp. 541-572

Persistent link: https://www.econbiz.de/10009303111

Constructing random times with given survival processes and applications to valuation of credit derivatives

Gapeev, Pavel V.; Jeanblanc, Monique; Li, Libo; … - In: Contemporary quantitative finance : essays in honour of …, (pp. 255-280). 2010

Persistent link: https://www.econbiz.de/10008749243

Modelling and hedging of default risk

Jeanblanc, Monique; Rutkowski, Marek - In: Credit derivatives : the definitive guide, (pp. 385-416). 2004

Persistent link: https://www.econbiz.de/10002799023

Modeling and valuation of credit risk

Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek - In: Stochastic methods in finance : lectures given at the …, (pp. 27-126). 2004

Persistent link: https://www.econbiz.de/10002526431

DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK

Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique - In: Mathematical Finance 18 (2008) 4, pp. 493-518

Persistent link: https://www.econbiz.de/10005023775

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

Bielecki, Tomasz; Jeanblanc, Monique; Rutkowski, Marek - In: Finance and Stochastics 15 (2011) 3, pp. 541-572

Persistent link: https://www.econbiz.de/10009324932

PDE approach to valuation and hedging of credit derivatives

Bielecki, Tomasz; Jeanblanc, Monique; Rutkowski, Marek - In: Quantitative Finance 5 (2005) 3, pp. 257-270

This paper presents a PDE approach in a Markovian setting to hedge defaultable derivatives. The arbitrage price and the hedging strategy for an attainable contingent claim are described in terms of solutions of a pair of coupled PDEs. For some standard examples of defaultable claims, we provide...

Persistent link: https://www.econbiz.de/10009208234