Quadratic Hedging Methods for Defaultable Claims

Biagini, Francesca und Cretarola, Alessandra (2007): Quadratic Hedging Methods for Defaultable Claims. In: Applied Mathematics and Optimization, Bd. 56, Nr. 3: S. 425-443

Abstract

We apply the local risk-minimization approach to defaultable claims and we compare it with intensity-based evaluation formulas and the mean-variance hedging. We solve analytically the problem of finding respectively the hedging strategy and the associated portfolio for the three methods in the case of a default put option with random recovery at maturity.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 0095-4616
• Sprache: Englisch