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Intensity-Based Valuation of Basket Credit Derivatives

In: Recent Developments In Mathematical Finance

Author

Listed:
  • Tomasz R. Bielecki

    (Department of Mathematics, The Northeastern Illinois University, 5500 North St. Louis Avenue, Chicago, IL 60625-4699, USA)

  • Marek Rutkowski

    (Faculty of Mathematics and Information Science, Politechnika Warszawska, pl. Politechniki 1, 00-661 Warszawa, Poland)

Abstract

Modeling of credit events and related credit derivatives in terms of hazard processes of associated random times has gained much attention in the literature in the recent years. Such an approach to the subject was termed the intensity-based approach. Basket credit derivatives are financial derivatives products deriving their value from changes in credit quality of several underlying credit entities (credit names). We present here some recent results aiming at intensity-based valuation of basket credit derivatives within the context of so-called conditionally independent defaults.

Suggested Citation

  • Tomasz R. Bielecki & Marek Rutkowski, 2001. "Intensity-Based Valuation of Basket Credit Derivatives," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 2, pages 12-27, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812799579_0002
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    Cited by:

    1. Samson Assefa, 2007. "Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2007.

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