Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
DOI10.1007/978-3-642-03479-4_14zbMATH Open1228.91070OpenAlexW2188049448MaRDI QIDQ3000885FDOQ3000885
Authors: Pavel Gapeev, Marek Rutkowski, Monique Jeanblanc, Li-Bo Li 
Publication date: 31 May 2011
Published in: Contemporary Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-03479-4_14
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- scientific article; zbMATH DE number 2241893
Doob-Meyer decompositionBrownian filtrationsurvival processGirsanov's change of a probability measureAzéma supermartingalecàdlàg martingale
Derivative securities (option pricing, hedging, etc.) (91G20) Signal detection and filtering (aspects of stochastic processes) (60G35) Generalizations of martingales (60G48)
Cited In (18)
- Approximate value adjustments for European claims
- Random times and multiplicative systems
- Generalized BSDE and reflected BSDE with random time horizon
- Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula
- CVA and vulnerable options in stochastic volatility models
- RANDOM TIME FORWARD-STARTING OPTIONS
- On the construction of conditional probability densities in the Brownian and compound Poisson filtrations
- Default barrier intensity model for credit risk evaluation
- CVA and vulnerable options pricing by correlation expansions
- Optional splitting formula in a progressively enlarged filtration
- Generalized density approach in progressive enlargement of filtrations
- An explicit model of default time with given survival probability
- Dynamics of multivariate default system in random environment
- Progressive enlargements of filtrations with pseudo-honest times
- Azéma's martingale
- Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities
- CVA in fractional and rough volatility models
- Characteristics and constructions of default times
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