Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives

DOI10.1007/978-3-642-03479-4_14MaRDI QIDQ3000885zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Doob-Meyer decompositionBrownian filtrationsurvival processGirsanov's change of a probability measureAzéma supermartingalecàdlàg martingale

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Signal detection and filtering (aspects of stochastic processes) (60G35) Generalizations of martingales (60G48)

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Cited in

(18)

• Characteristics and constructions of default times
• Approximate value adjustments for European claims
• Random times and multiplicative systems
• Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula
• Generalized BSDE and reflected BSDE with random time horizon
• CVA and vulnerable options in stochastic volatility models
• RANDOM TIME FORWARD-STARTING OPTIONS
• Default barrier intensity model for credit risk evaluation
• On the construction of conditional probability densities in the Brownian and compound Poisson filtrations
• CVA and vulnerable options pricing by correlation expansions
• An explicit model of default time with given survival probability
• Generalized density approach in progressive enlargement of filtrations
• Optional splitting formula in a progressively enlarged filtration
• 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

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