Pricing and Trading Credit Default Swaps ∗

  title={Pricing and Trading Credit Default Swaps ∗},
  author={T. R. Bielecki and Monique Jeanblanc and Marek Rutkowski},
∗A part of this work was completed during our visit to the Isaac Newton Institute for Mathematical Sciences in Cambridge. We thank the organizers of the programme Developments in Quantitative Finance for the kind invitation. †The research of T.R. Bielecki was supported by NSF Grant 0202851 and Moody’s Corporation grant 5-55411. ‡The research of M. Jeanblanc was supported by Zéliade, Itô33, and Moody’s Corporation grant 5-55411. §The research of M. Rutkowski was supported by the 2005 Faculty… CONTINUE READING

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