Aron Moberg, presents his master thesis

Pricing and hedging of Credit Default Swaps using the CEV-model

abstract
The CEV-model is a continuous model similar to the Black \&
Scholes-model, with the important difference that it has the
ability to reach zero in a finite amount of time. This makes it
possible to use the CEV-model to estimate the probability of an
equity reaching zero and thus use it to price CDS contracts. In
these thesis I have examined the CEV-model's ability to correctly
price CDS contracts and then tried to create a hedging portfolio
to the CDS contract using a put option and the underlying equity.