Modeling the forward CDS spreads with jumps

DOI10.1080/07362994.2012.668435zbMATH Open1242.91198OpenAlexW2046188224MaRDI QIDQ2893285FDOQ2893285

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

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• The dynamic spread of the forward CDS with general random loss
• Market Models of Forward CDS Spreads
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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)

Cites Work

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

Cited In (3)

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

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