Pricing and Trading Credit Default Swaps in a Hazard Process Model

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Pricing and Trading Credit Default Swaps in a Hazard Process Model

by Tomasz Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of Évry University, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology

July 23, 2007

Abstract: Mathematical foundations for dynamic representation of prices of credit default swap contracts are presented. This is next applied to the problem of hedging defaultable claims using CDS contracts.

Keywords: credit default swaps, price dynamics, spread dynamics, hedging, market swaps.

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