Pricing and Trading Credit Default Swaps under Deterministic Intensity ∗

@inproceedings{Bielecki2005PricingAT,
  title={Pricing and Trading Credit Default Swaps under Deterministic Intensity ∗},
  author={Tomasz R. Bielecki and Monique Jeanblanc and Marek Rutkowski},
  year={2005}
}
∗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 Research… CONTINUE READING

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2002a) Credit Risk: Modeling, Valuation and Hedging

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Default risk and hazard processes

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