PDE approach to the valuation and hedging of basket credit derivatives

Marek Rutkowski, Khan Yousiph

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4 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)1261-1285
Number of pages25
JournalInternational Journal of Theoretical and Applied Finance
Volume10
Issue number8
DOIs
Publication statusPublished - Dec 2007
Externally publishedYes

Keywords

  • Basket credit derivatives
  • Credit risk
  • PDE approach

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