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Hedging of Basket Credit Derivatives in Credit Default Swap Market

by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the UniversitÚ d'╔vry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology

December 27, 2006

Introduction: This paper is the first in a series of works in which we shall conduct a systematic mathematical study of credit derivatives of the swap type. The formal set-up has been chosen here to be relatively simple, so that we can illuminate and explain some non-trivial aspects of the theory of credit related swap contracts without engaging in complicated technical issues that will necessarily transpire in a more realistic model, which will be studied in a follow-up paper.

Published in: Journal of Credit Risk, Vol. 3, No. 1, (Spring 2007), pp. 91-132.

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