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

DOI10.1007/978-3-642-03479-4_14zbMath1228.91070OpenAlexW2188049448MaRDI QIDQ3000885

Marek Rutkowski, Pavel V. Gapeev, Monique Jeanblanc-Picqué, 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 decompositioncàdlàg martingaleAzéma supermartingaleBrownian filtrationsurvival processGirsanov's change of a probability measure

Mathematics Subject Classification ID

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

Related Items (15)

Dynamics of multivariate default system in random environment ⋮ RANDOM TIME FORWARD-STARTING OPTIONS ⋮ Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities ⋮ Generalized BSDE and reflected BSDE with random time horizon ⋮ Random times and multiplicative systems ⋮ CVA in fractional and rough volatility models ⋮ Characteristics and Constructions of Default Times ⋮ La martingale d’Azéma ⋮ Default barrier intensity model for credit risk evaluation ⋮ CVA and vulnerable options pricing by correlation expansions ⋮ Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula ⋮ An explicit model of default time with given survival probability ⋮ Progressive enlargements of filtrations with pseudo-honest times ⋮ CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS ⋮ Approximate value adjustments for European claims

This page was built for publication: Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives