Skip to main content

Hedging of Defaultable Claims

Part of the Lecture Notes in Mathematics book series (LNM,volume 1847)

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.

Mathematics Subject Classification (2000):

  • 92B24
  • 91B28
  • 91B44
  • 91B70
  • 60H30
  • 93E20

This is a preview of subscription content, access via your institution.

Buying options

Chapter
USD   29.95
Price excludes VAT (Canada)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   39.99
Price excludes VAT (Canada)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   49.99
Price excludes VAT (Canada)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Author information

Authors and Affiliations

Authors

Corresponding author

Correspondence to Tomasz R. Bielecki .

Editor information

Editors and Affiliations

Rights and permissions

Reprints 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