PDE Approach to Valuation and Hedging of Credit Derivatives

@inproceedings{Bielecki2005PDEAT,
  title={PDE Approach to Valuation and Hedging of Credit Derivatives},
  author={Tomasz R. Bielecki and Monique Jeanblanc and Marek Rutkowski},
  year={2005}
}
Our aim is to examine the PDE approach to the valuation and hedging of a defaultable claim in various settings; this allows us to emphasize the importance of the choice of the traded assets. We start with a general model for the dynamics of the traded primary assets. Subsequently, we specify particular models and we deal with particular defaultable claims such as, for instance, survival claims. For the sake of notational simplicity, we deal throughout with a model with only three primary traded… CONTINUE READING

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