Economics, Econometrics and Finance
4 years ago

New model revolutionizes pricing and trading of credit default swaps!

2 views
The Annals of Applied Probability
Pricing and trading credit default swaps in a hazard process model
Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski

Paper Summary

The article explores how credit default swaps are priced and traded using a hazard process model. The researchers found a way to determine these prices without needing certain conditions to be met. They then used this method to analyze how to replicate different types of risky financial claims using credit default swaps.

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