Pricing and trading credit default swaps in a hazard process model

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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.
Published in at http://dx.doi.org/10.1214/00-AAP520 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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Probability, 60G35, 60G44, 60H30 (Primary)

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http://salesiana.dossiersoluciones.com/handle/123456789/216301

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0901.2390
 http://arxiv.org/abs/0901.2390
 Annals of Applied Probability 2008, Vol. 18, No. 6, 2495-2529
 doi:10.1214/00-AAP520

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arXiv