If you are experiencing problems downloading PDF or HTML fulltext, our helpdesk recommend clearing your browser cache and trying again. If you need help in clearing your cache, please click here . Still need help? Email help@ingentaconnect.com

PDE approach to valuation and hedging of credit derivatives

$54.78 plus tax (Refund Policy)

Buy Article:

Abstract:

This paper presents a PDE approach in a Markovian setting to hedge defaultable derivatives. The arbitrage price and the hedging strategy for an attainable contingent claim are described in terms of solutions of a pair of coupled PDEs. For some standard examples of defaultable claims, we provide explicit formulae for prices and hedging strategies.

Keywords: Credit derivatives; Hedging; PDE approach; Valuation

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/14697680500149297

Affiliations: 1: Department of Applied Mathematics, Illinois Institute of Technology, Chicago, IL 60616, USA 2: Département de Mathématiques, Université d'Évry Val d'Essonne, 91025 Évry Cedex, France 3: Faculty of Mathematics and Information Science, Warsaw University of Technology, 00-661 Warszawa, Poland

Publication date: June 1, 2005

Related content

Share Content

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
X
Cookie Policy
ingentaconnect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more