Credit Risk, Market Sentiment and Randomly-Timed Default

DOI10.1007/978-3-642-15358-7_13zbMath1219.91147arXiv1006.2909MaRDI QIDQ3015687

Dorje C. Brody, Lane P. Hughston, Andrea Macrina

Publication date: 13 July 2011

Published in: Stochastic Analysis 2010, Financial Informatics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1006.2909

zbMATH Keywords

credit derivatives; random times; information-based asset pricing

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

91G40: Credit risk