Hedging of Defaultable Claims
By Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski. 2004
114 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/2313885abb76d767b871f16f783a3695c0d5af40
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Rüdiger Frey
- Dirk Becherer
- Marek Rutkowski
- Tomasz R. Bielecki
- J. Backhaus
- Monique Jeanblanc
- James W. Taylor
- St'ephane Cr'epey
In Finance
- St'ephane Cr'epey
- Monique Jeanblanc
- Rüdiger Frey
- Tomasz R. Bielecki
- J. Backhaus
- Marek Rutkowski
- Dirk Becherer
- Damiano Brigo
Citations in the corpus
- PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES (2008, background): “The hedging of credit risky securities is also studied in ( Bielecki, Jeanblanc & Rutkowski 2004 ) and (Elouerkhaoui 2006), among others.”
- Bounded solutions to backward SDE's with jumps for utility optimization and indifference hedging (2006, background): “Let us point out some connections to the pioneering work in [6, 7].”
- Pricing and trading credit default swaps in a hazard process model (2008, background): “In particular, in [5, 7] we studied hedging of defaultable claims in a general, semi-martingale setting.”
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion (2010, background): “The dynamic hedging of credit risky securities is studied among others by Bielecki, Jeanblanc & Rutkowski (2004) , Elouerkhaoui (2006), Bielecki, Jeanblanc & Rutkowski (2007) and Laurent, Cousin & Fermanian (2008).”