Abstract.
The goal of this chapter is to present a survey of recent developments in the practically important and challenging area of hedging credit risk. In a companion work, Bielecki et al. (2004a), we presented techniques and results related to the valuation of defaultable claims. It should be emphasized that in most existing papers on credit risk, the risk-neutral valuation of defaultable claims is not supported by any other argument than the desire to produce an arbitrage-free model of default-free and defaultable assets. Here, we focus on the possibility of a perfect replication of defaultable claims and, if the latter is not feasible, on various approaches to hedging in an incomplete setting.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Corresponding author
Editor information
Rights and permissions
Copyright information
© 2004 Springer-Verlag Berlin/Heidelberg
About this chapter
Cite this chapter
Bielecki, T.R., Jeanblanc, M., Rutkowski, M. (2004). Hedging of Defaultable Claims. In: Carmona, R.A., Çinlar, E., Ekeland, I., Jouini, E., Scheinkman, J.A., Touzi, N. (eds) Paris-Princeton Lectures on Mathematical Finance 2003. Lecture Notes in Mathematics, vol 1847. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-44468-8_1
Download citation
DOI: https://doi.org/10.1007/978-3-540-44468-8_1
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-22266-8
Online ISBN: 978-3-540-44468-8
eBook Packages: Springer Book Archive