Recursive valuation of defaultable securities and the timing of resolution of uncertainty

DOI10.1214/aoap/1035463324zbMath0868.90008OpenAlexW1978577723MaRDI QIDQ1354833

Mark Schroder, Costis Skiadas, J. Darrell Duffie

Publication date: 12 May 1997

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1035463324

zbMATH Keywords

default riskbackward recursive stochastic integral equationsvaluation of securities

Mathematics Subject Classification ID

Related Items (62)

CDS calibration under an extended JDCEV model ⋮ General dynamic term structures under default risk ⋮ A PRIMAL–DUAL ALGORITHM FOR BSDES ⋮ Modeling credit risk with partial information. ⋮ A term structure model with preferences for the timing of resolution of uncertainty ⋮ Default risk and derivative products ⋮ Default risk and derivative products ⋮ DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES ⋮ Numerical approach to asset pricing models with stochastic differential utility ⋮ A jump to default extended CEV model: an application of Bessel processes ⋮ PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY ⋮ On Cox processes and credit risky securities ⋮ Pricing the risks of default ⋮ Term structure modelling of defaultable bonds ⋮ Interest rate swap pricing with default risk under variance gamma process ⋮ Causal predictability between stochastic processes and filtrations ⋮ Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks ⋮ CREDIT CONTAGION: PRICING CROSS-COUNTRY RISK IN BRADY DEBT MARKETS ⋮ Characteristics and Constructions of Default Times ⋮ Credit risky securities valuation under a contagion model with interacting intensities ⋮ On absolutely continuous compensators and nonlinear filtering equations in default risk models ⋮ Optimal consumption and portfolio selection with stochastic differential utility ⋮ Default barrier intensity model for credit risk evaluation ⋮ The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts ⋮ Total return swap valuation with counterparty risk and interest rate risk ⋮ An overview of the valuation of collateralized derivative contracts ⋮ Regression-based algorithms for life insurance contracts with surrender guarantees ⋮ DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM ⋮ Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling ⋮ The pricing of total return swap under default contagion models with jump-diffusion interest rate risk ⋮ HAZARD PROCESSES AND MARTINGALE HAZARD PROCESSES ⋮ Dynamic asset pricing theory with uncertain time-horizon ⋮ Credit contagion and aggregate losses ⋮ Term structure of credit spreads with learning and anticipation effects ⋮ The pricing of credit risky securities under stochastic interest rate model with default correlation. ⋮ Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem ⋮ Default and information ⋮ AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL ⋮ Pricing model of interest rate swap with a bilateral default risk ⋮ Convenience yields ⋮ Event risk, contingent claims and the temporal resolution of uncertainty ⋮ BSDEs with regime switching: weak convergence and applications ⋮ Number of paths versus number of basis functions in American option pricing ⋮ Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes ⋮ A GENERAL FRAMEWORK FOR PRICING CREDIT RISK ⋮ A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes ⋮ Inside the EMs Risky Spreads and CDS-Sovereign Bonds Basis ⋮ On existence and uniqueness properties for solutions of stochastic fixed point equations ⋮ Pricing default events: surprise, exogeneity and contagion ⋮ Pricing life insurance contracts with early exercise features ⋮ On a multivariate Markov chain model for credit risk measurement ⋮ Credit, funding, margin, and capital valuation adjustments for bilateral portfolios ⋮ Pathwise Dynamic Programming ⋮ Multilevel Picard iterations for solving smooth semilinear parabolic heat equations ⋮ Pricing credit derivatives under stochastic recovery in a hybrid model ⋮ Stochastic mortality under measure changes ⋮ TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK ⋮ An intensity-based approach for equity modeling ⋮ BSDEs of counterparty risk ⋮ Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning ⋮ The fair value of guaranteed annuity options ⋮ Implied default probability and credit derivatives

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Pricing the risks of default
• `Finem Lauda' or the risks in swaps
• Information structure and equilibrium asset prices
• Similarity of information and behavior with a pointwise convergence topology
• Martingales and arbitrage in multiperiod securities markets
• Backward-forward stochastic differential equations
• PDE solutions of stochastic differential utility
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS

This page was built for publication: Recursive valuation of defaultable securities and the timing of resolution of uncertainty