caa a22 4500 445363177 CHVBK 20180317142921.0 cr unu---uuuuu 170323e20110901xx s 000 0 eng 10.1007/s00780-010-0143-7 doi (NATIONALLICENCE)springer-10.1007/s00780-010-0143-7 Hedging of a credit default swaption in the CIR default intensity model [Elektronische Daten] [Tomasz Bielecki, 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. Springer-Verlag, 2010 CDS swaption nationallicence CIR intensity nationallicence Hedging nationallicence Bielecki Tomasz Department of Applied Mathematics, Illinois Institute of Technology, 60616, Chicago, IL, USA aut Jeanblanc Monique Département de Mathématiques, Institut Europlace de Finance, Université d'Évry Val d'Essonne, 91025, Evry Cedex, France aut Rutkowski Marek School of Mathematics and Statistics, University of Sydney, 2006, Sydney, NSW, Australia aut Finance and Stochastics Springer-Verlag 15/3(2011-09-01), 541-572 0949-2984 15:3<541 2011 15 780 https://doi.org/10.1007/s00780-010-0143-7 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00780-010-0143-7 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Bielecki Tomasz Department of Applied Mathematics, Illinois Institute of Technology, 60616, Chicago, IL, USA aut NATIONALLICENCE 700 1- Jeanblanc Monique Département de Mathématiques, Institut Europlace de Finance, Université d'Évry Val d'Essonne, 91025, Evry Cedex, France aut NATIONALLICENCE 700 1- Rutkowski Marek School of Mathematics and Statistics, University of Sydney, 2006, Sydney, NSW, Australia aut NATIONALLICENCE 773 0- Finance and Stochastics Springer-Verlag 15/3(2011-09-01), 541-572 0949-2984 15:3<541 2011 15 780 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer