风险过程模型下信用违约互换的定价与交易
Pricing and trading credit default swaps in a hazard process model
摘要：
本文在一个信用风险的风险过程模型中研究了信用违约互换套利价格的动态性。我们得到这些动力学没有假设的浸入属性之间的一些相关的filtrations是满意的。然后，这些结果被应用到研究一般违约债权，包括一些篮子债权，通过动态交易的信用违约互换的复制问题。
英文摘要：
In the paper we study dynamics of the arbitrage prices of credit default swaps within a hazard process model of credit risk. We derive these dynamics without postulating that the immersion property is satisfied between some relevant filtrations. These results are then applied so to study the problem of replication of general defaultable claims, including some basket claims, by means of dynamic trading of credit default swaps.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
