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Hedging of a credit default swaption in the CIR default intensity model

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  • Tomasz Bielecki
  • Monique Jeanblanc
  • Marek Rutkowski

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  • Tomasz Bielecki & Monique Jeanblanc & Marek Rutkowski, 2011. "Hedging of a credit default swaption in the CIR default intensity model," Finance and Stochastics, Springer, vol. 15(3), pages 541-572, September.
    • Handle: RePEc:spr:finsto:v:15:y:2011:i:3:p:541-572
    DOI: 10.1007/s00780-010-0143-7
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    References listed on IDEAS

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    1. Marek Rutkowski & Anthony Armstrong, 2009. "Valuation Of Credit Default Swaptions And Credit Default Index Swaptions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(07), pages 1027-1053.
    2. Jamshidian, Farshid, 1989. " An Exact Bond Option Formula," Journal of Finance, American Finance Association, vol. 44(1), pages 205-209, March.
    3. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    4. R. J. Elliott & M. Jeanblanc & M. Yor, 2000. "On Models of Default Risk," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 179-195, April.
    5. Damiano Brigo & Naoufel El-Bachir, 2007. "An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model," ICMA Centre Discussion Papers in Finance icma-dp2007-14, Henley Business School, University of Reading.
    6. Farshid Jamshidian, 2004. "Valuation of credit default swaps and swaptions," Finance and Stochastics, Springer, vol. 8(3), pages 343-371, August.
    7. Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), 2006. "Stochastic Processes and Applications to Mathematical Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 5956, January.
    8. Tomasz R. Bielecki & Monique Jeanblanc & Marek Rutkowski, 2006. "Hedging of Credit Derivatives in Models with Totally Unexpected Default," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 2, pages 35-100, World Scientific Publishing Co. Pte. Ltd..
    9. Jeanblanc, Monique & Le Cam, Yann, 2009. "Progressive enlargement of filtrations with initial times," Stochastic Processes and their Applications, Elsevier, vol. 119(8), pages 2523-2543, August.
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    Citations

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    Cited by:

    1. Amelie Hüttner & Matthias Scherer, 2016. "A note on the valuation of CDS options and extension risk in a structural model with jumps," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1-16, June.
    2. Rafael Mendoza-Arriaga & Vadim Linetsky, 2014. "Time-changed CIR default intensities with two-sided mean-reverting jumps," Papers 1403.5402, arXiv.org.
    3. Damien Ackerer & Damir Filipovi'c, 2016. "Linear Credit Risk Models," Papers 1605.07419, arXiv.org, revised Jul 2019.
    4. Damien Ackerer & Damir Filipović, 2020. "Linear credit risk models," Finance and Stochastics, Springer, vol. 24(1), pages 169-214, January.

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    More about this item

    Keywords

    CDS swaption; CIR intensity; Hedging; 60G35; 91B26; G13;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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