Credit default swaps in two-dimensional models with various informations flows

DOI10.1142/S0219024920500107MaRDI QIDQ5114679zbMATH OpenOpenAlexFDO

Authors Pavel Gapeev, Monique Jeanblanc

Publication date 25 June 2020

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024920500107

zbMATH Keywords

counterparty riskcredit default swapsdefault timesgeometric Brownian motioninitial and progressive enlargements of filtrations

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Recommendations

• FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS
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Cites work

• Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
• Carthaginian enlargement of filtrations
• Changes of filtrations and of probability measures
• Counterparty credit risk, collateral and funding. With pricing cases for all asset classes
• Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo
• Counterparty risk for credit default swaps: impact of spread volatility and default correlation
• Defaultable claims in switching models with partial information
• Density approach in modeling successive defaults
• Enlargement of filtrations with finance in view
• scientific article; zbMATH DE number 3778409 (Why is no real title available?)
• scientific article; zbMATH DE number 2144815 (Why is no real title available?)
• scientific article; zbMATH DE number 3390061 (Why is no real title available?)
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
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• On models of default risk.
• On some exponential functionals of Brownian motion
• On the integral of geometric Brownian motion
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• The integral of geometric Brownian motion
• The Wiener disorder problem with finite horizon
• Valuation and hedging of CDS counterparty exposure in a Markov copula model
• What happens after a default: the conditional density approach

Cited in

(12)

• Linear credit risk models
• Pricing and trading credit default swaps in a hazard process model
• Endogenous trading in credit default swaps
• Pricing and filtering in a two-dimensional dividend switching model
• Swap Pricing with Two-Sided Default Risk in a Rating-Based Model *
• Fair pricing of credit default swaps in an intensity-based model driven by subordinator processes
• FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS
• A double obstacle model for pricing bi-leg defaultable interest rate swaps
• Pricing credit default swaps with Parisian and Parasian default mechanics
• Dynamic credit default swap curves in a network topology
• Defaultable claims in switching models with partial information
• The research of the short term price of a credit default swap in a jump diffusion model with two-sided exponentially distributed jump

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