Modeling the forward CDS spreads with jumps

DOI10.1080/07362994.2012.668435MaRDI QIDQ2893285zbMATHOpenAlexFDO

Authors Dewen Xiong, Michael Kohlmann

Publication date 20 June 2012

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2012.668435

zbMATH Keywords

adjoint system of BSDEsforward CDSHJM with jumpssystem of BSDEs

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• The dynamic spread of the forward CDS with general random loss
• Market Models of Forward CDS Spreads
• CDS calibration under an extended JDCEV model
• Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model
• Defaultable Bond markets with jumps

Cites work

• Bond Market Structure in the Presence of Marked Point Processes
• Changes of filtrations and of probability measures
• Continuous-time term structure models: Forward measure approach
• Defaultable Bond markets with jumps
• Hedging of a credit default swaption in the CIR default intensity model
• Market Models of Forward CDS Spreads
• Mathematical methods for financial markets.
• Pricing and trading credit default swaps in a hazard process model
• Semi-martingales et grossissement d'une filtration
• The mean-variance hedging in a bond market with jumps
• Towards a general theory of bond markets

Cited in

(3)

• Market Models of Forward CDS Spreads
• The dynamic spread of the forward CDS with general random loss
• The determinants of CDS spreads: evidence from the model space

This page was built for publication: Modeling the forward CDS spreads with jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2893285)