Finance and Stochastics

, Volume 15, Issue 3, pp 541–572 | Cite as

Hedging of a credit default swaption in the CIR default intensity model

  • Tomasz R. BieleckiEmail author
  • Monique Jeanblanc
  • Marek Rutkowski


An important issue arising in the context of credit default swap (CDS) rates is the construction of an appropriate model in which a family of options written on credit default swaps, referred to hereafter as credit default swaptions, can be valued and hedged. The goal of this work is to exemplify the usefulness of some abstract hedging results, which were obtained previously by the authors, for the valuation and hedging of the credit default swaption in a particular hazard process setup, namely, the CIR default intensity model.


CDS swaption CIR intensity Hedging 

Mathematics Subject Classification (2000)

60G35 91B26 

JEL Classification



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Copyright information

© Springer-Verlag 2010

Authors and Affiliations

  • Tomasz R. Bielecki
    • 1
    Email author
  • Monique Jeanblanc
    • 2
  • Marek Rutkowski
    • 3
  1. 1.Department of Applied MathematicsIllinois Institute of TechnologyChicagoUSA
  2. 2.Département de Mathématiques, Institut Europlace de FinanceUniversité d’Évry Val d’EssonneEvry CedexFrance
  3. 3.School of Mathematics and StatisticsUniversity of SydneySydneyAustralia

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