MAREK RUTKOWSKI () (School of Mathematics and Statistics, University of New South Wales, Sydney, NSW 2052, Australia) KHAN YOUSIPH (School of Mathematics and Statistics, University of New South Wales, Sydney, NSW 2052, Australia)
Abstract
The goal of this work is to examine the PDE approach to the valuation and hedging of defaultable claims in a Markovian model of credit risk. Our approach is based on the previous work by Bielecki et al. [3]. We extend the results in [3] by considering a general credit risk model, in which the number of traded assets, the dimension of the driving Brownian motion, as well as the number of default times are arbitrary.
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