Hedging of Credit Default Swaptions in a Hazard Process Model

DefaultRisk.com the web's biggest credit risk modeling resource.

Submit Your Paper

Post Your Résumé

For Recruiters

Amazon.com Widgets

Hedging of Credit Default Swaptions in a Hazard Process Model

by Tomasz Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d’Évry Val d’Essonne & Institut Europlace de Finance, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology

December 2, 2008

Abstract: The paper discusses valuation and hedging of CDS swaptions using the hazard process methodology. Various approaches to modeling of conditional survival density are discussed. A detailed analysis of valuation and replication of CDS swaptions in the CIR framework is provided.

Keywords: CDS swaptions, conditional survival density, immersion property, Ito-Kunita-Wentzell formula, CIR intensity.

Books Referenced in this Paper: (what is this?)