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Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches
| Venue: | CONTEMPORARY MATHEMATICS |
| Citations: | 2 - 1 self |
BibTeX
@MISC{Bielecki_pricingand,
author = {Tomasz R. Bielecki and Monique Jeanblanc and Marek Rutkowski},
title = { Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches},
year = {}
}
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Abstract
The paper presents some methods and results related to the valuation and hedging of defaultable claims (credit-risk sensitive derivative instruments). Both the exact replication of attainable defaultable claims and the mean-variance hedging of non-attainable defaultable claims are examined. For the sake of simplicity, the general methods are then applied to simple cases of defaultable equity derivatives, rather than to the more complicated examples of real-life credit derivatives.
Keyphrases
mean-variance approach credit risk defaultable claim complicated example mean-variance hedging attainable defaultable claim general method non-attainable defaultable claim defaultable equity derivative credit-risk sensitive derivative instrument exact replication real-life credit derivative simple case
