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

Author

Listed:
  • Tomasz Bielecki

    ()

  • Monique Jeanblanc

    ()

  • Marek Rutkowski

    ()

Abstract

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Suggested Citation

  • 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

    as
    1. Jamshidian, Farshid, 1989. " An Exact Bond Option Formula," Journal of Finance, American Finance Association, vol. 44(1), pages 205-209, March.
    2. R. J. Elliott & M. Jeanblanc & M. Yor, 2000. "On Models of Default Risk," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 179-195.
    3. 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, Reading University.
    4. Farshid Jamshidian, 2004. "Valuation of credit default swaps and swaptions," Finance and Stochastics, Springer, vol. 8(3), pages 343-371, August.
    5. 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, October.
    6. 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.
    Full references (including those not matched with items on IDEAS)

    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. Damien Ackerer & Damir Filipovi'c, 2016. "Linear Credit Risk Models," Papers 1605.07419, arXiv.org, revised Jan 2018.

    More about this item

    Keywords

    CDS swaption; CIR intensity; Hedging; 60G35; 91B26; G13;

    JEL classification:

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

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