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. . We extend the results in  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.
|Number of pages||25|
|Journal||International Journal of Theoretical and Applied Finance|
|Publication status||Published - Dec 2007|
- Basket credit derivatives
- Credit risk
- PDE approach