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A bottom-up dynamic model of portfolio credit risk : part II ; common-shock interpretation, calibration and hedging issues

Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - In: Recent advances in financial engineering 2012 : …, (pp. 51-73). 2014

Persistent link: https://www.econbiz.de/10010359906

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

Dynamic conic finance : pricing and hedging in market models with transaction costs via dynamic coherent acceptability indices

Bielecki, Tomasz R.; Cialenco, Igor; Iyigunler, Ismail; … - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10009725092

Valuation and hedging of CDS counterparty exposure in a Markov copula model

Bielecki, Tomasz R.; Crépey, S.; Jeanblanc, Monique; … - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10009562148

Credit risk : modeling, valuation and hedging

Bielecki, Tomasz R.; Rutkowski, Marek - 2002

Persistent link: https://www.econbiz.de/10001621020

A Bottom-Up Dynamic Model of Portfolio Credit Risk : Part II: Common-Shock Interpretation, Calibration and Hedging Issues

Bielecki, Tomasz R. - 2013

In this paper, we prove that the conditional dependence structure of default times in the Markov model of "A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective" belongs to the class of Marshall-Olkin copulas. This allows us to derive a factor representation in...

Persistent link: https://www.econbiz.de/10013083831

Financial modeling : a backward stochastic differential equations perspective

Crépey, Stéphane - 2013

Persistent link: https://www.econbiz.de/10009770436

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

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