VALUATION AND HEDGING OF DEFAULTABLE GAME OPTIONS IN A HAZARD PROCESS MODEL Tomasz R. Bielecki * Department of Applied Mathematics Illinois Institute of Technology Chicago, IL 60616, USA St´ ephane Cr´ epey † D´ epartement de Math´ ematiques Universit´ e d’ ´ Evry Val d’Essonne 91025 ´ Evry Cedex, France Monique Jeanblanc ‡ D´ epartement de Math´ ematiques Universit´ e d’ ´ Evry Val d’Essonne 91025 ´ Evry Cedex, France and Europlace Institute of Finance Marek Rutkowski § School of Mathematics and Statistics University of New South Wales Sydney, NSW 2052, Australia and Faculty of Mathematics and Information Science Warsaw University of Technology 00-661 Warszawa, Poland September 19, 2008 * The research of T.R. Bielecki was supported by NSF Grant 0202851 and Moody’s Corporation grant 5-55411. † The research of S. Cr´ epey was supported by Ito33 and the 2005 Faculty Research Grant PS06987. ‡ The research of M. Jeanblanc was supported by Ito33 and Moody’s Corporation grant 5-55411. § The research of M. Rutkowski was supported by the 2007 Faculty Research Grant PS12918.