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Credit Risk: Modeling, Valuation And Hedging

The main objective of Credit Risk: Modeling, Valuation and Hedging is to present a comprehensive survey of the past developments in the area of credit risk research, as well as to put forth the most…
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Martingale Methods in Financial Modelling

Spot and Futures Markets.- An Introduction to Financial Derivatives.- Discrete-time Security Markets.- Benchmark Models in Continuous Time.- Foreign Market Derivatives.- American Options.- Exotic…
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Continuous-time term structure models: Forward measure approach

Abstract. The problem of term structure of interest rates modelling is considered in a continuous-time framework. The emphasis is on the bond prices, forward bond prices and so-called LIBOR rates,…
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Multiple Ratings Model of Defaultable Term Structure

A new approach to modeling credit risk, to valuation of defaultable debt and to pricing of credit derivatives is developed. Our approach, based on the Heath, Jarrow, and Morton (1992) methodology,…
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Hedging of Defaultable Claims

The goal of this chapter is to present a survey of recent developments in the practically important and challenging area of hedging credit risk. In a companion work, Bielecki et al. (2004a), we…
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Valuation and Hedging of Contracts with Funding Costs and Collateralization

A systematic approach to valuation and hedging in nonlinear markets, that is, in markets where cash flows of the financial contracts may depend on the hedging strategies, is introduced and a way to define no-arbitrage in such non linear markets is proposed.
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THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS1

The note deals with the pricing of American options related to foreign market equities. the form of the early exercise premium representation of the American option's price in a stochastic interest…
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Pricing and trading credit default swaps in a hazard process model

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…
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Modelling of Default Risk: Mathematicals Tools

Our aim is to give a theoretical study for the modelling of default risk. We provide rst a detailed analysis of the relatively simple case when the flow of informations available to an agent reduces…

A note on the Flesaker-Hughston model of the term structure of interest rates

A term structure model proposed by Flesaker and Hughston (1996a,b) is analysed within the general framework of arbitrage-free term structure modelling. Basic valuation formulae for caps and swaptions…
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