English, Article edition: PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES MAREK RUTKOWSKI; KHAN YOUSIPH

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Bookmark: http://trove.nla.gov.au/version/83025
Physical Description
  • article
Language
  • English

Edition details

Title
  • PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES
Author
  • MAREK RUTKOWSKI
  • KHAN YOUSIPH
Physical Description
  • article
Notes
  • 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.
  • Credit risk, PDE approach, basket credit derivatives
  • RePEc:wsi:ijtafx:v:10:y:2007:i:08:p:1261-1285
Language
  • English
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