Pricing and trading credit default swaps in a hazard process model

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dc.creatorBielecki, Tomasz R.
dc.creatorJeanblanc, Monique
dc.creatorRutkowski, Marek
dc.date2009-01-16
dc.date.accessioned2026-07-07T12:30:58Z
dc.date.available2026-07-07T12:30:58Z
dc.descriptionIn 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.
dc.descriptionPublished 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)
dc.identifierhttps://arxiv.org/abs/0901.2390
dc.identifierhttp://arxiv.org/abs/0901.2390
dc.identifierAnnals of Applied Probability 2008, Vol. 18, No. 6, 2495-2529
dc.identifierdoi:10.1214/00-AAP520
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/216301
dc.subjectProbability
dc.subject60G35, 60G44, 60H30 (Primary)
dc.titlePricing and trading credit default swaps in a hazard process model
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