PRICING AND TRADING CREDIT DEFAULT SWAPS IN A HAZARD PROCESS MODEL

被引：30
|
作者：
Bielecki, Tomasz R. [1 ]
Jeanblanc, Monique [2 ,3 ]
Rutkowski, Marek [4 ,5 ]
机构：
[1] IIT, Dept Appl Math, Chicago, IL 60616 USA
[2] Univ Evry Val Essonne, Dept Math, F-91025 Evry, France
[3] Inst Europl Finance, F-75001 Paris, France
[4] Univ New S Wales, Sch Math & Stat, Sydney, NSW 2052, Australia
[5] Warsaw Univ Technol, Fac Math & Informat Sci, PL-00661 Warsaw, Poland
来源：
ANNALS OF APPLIED PROBABILITY | 2008年 / 18卷 / 06期
基金：
美国国家科学基金会; 澳大利亚研究理事会;
关键词：
Credit default swaps; defaultable claims; first-to-default claims; hedging; immersion of filtrations; Hypothesis H;
D O I：
10.1214/00-AAP520
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In the paper we study dynamics of the arbitrage prices of credit default swaps within a hazard process model of credit risk. We derive these dynamics without postulating that the immersion property is satisfied between some relevant filtrations. These results are then applied so to study the problem of replication of general defaultable claims, including some basket claims, by means of dynamic trading of credit default swaps.
引用
收藏
页码：2495 / 2529
页数：35
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