PDE approach to valuation and hedging of credit derivatives

PDE approach to valuation and hedging of credit derivatives

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 expl...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Quantitative finance 2005-06, Vol.5 (3), p.257-270
Hauptverfasser: Bielecki, Tomasz R., Jeanblanc, Monique, Rutkowski, Marek
Format: Artikel
Sprache:eng
Schlagworte:
Credit derivatives
Derivatives
Hedging
PDE approach
Studies
Valuation
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung: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 explicit formulae for prices and hedging strategies.
ISSN:1469-7688
1469-7696
DOI:10.1080/14697680500149297