Dependent Defaults

  • Tomasz R. Bielecki
  • Marek Rutkowski
Part of the Springer Finance book series (FINANCE)

Abstract

In this chapter, we continue the study of the intensity-based approach to the modeling of dependent defaults. In Sect. 10.1, we shall analyze the ideas presented in a recent paper by Jarrow and Yu (2001). Then, in Sect. 10.2, we will analyze the martingale approach to the valuation of basket credit derivatives. For related results, the interested reader may consult Duffie (1998), Duffle and Singleton (1998b), Hull and White (2000, 2001), as well as to Lando (2000b), who examines the issue of modeling correlated defaults within the framework of a ratings-based model.

Keywords

Filtration Hull Volatility 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  • Tomasz R. Bielecki
    • 1
  • Marek Rutkowski
    • 2
  1. 1.Applied Mathematics DepartmentIllinois Institute of TechnologyChicagoUSA
  2. 2.Faculty of Mathematics and Information SciencePolitechnika WarszawskaWarszawaPoland

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