PRICING AND TRADING CREDIT DEFAULT SWAPS IN A HAZARD PROCESS MODEL

• 成果类型: Article
• 署名作者: Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
• 署名单位: Illinois Institute of Technology; Universite Paris Saclay; University of New South Wales Sydney; Warsaw University of Technology
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/00-AAP520
• 发表日期: 2008
• 页码: 2495-2529
• 关键词: risk; claims

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.