FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS

DOI10.1142/S0219024921500229MaRDI QIDQ5010075zbMATH OpenOpenAlexFDO

Authors Pavel Gapeev, Monique Jeanblanc

Publication date 24 August 2021

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024921500229

zbMATH Keywords

first-to-default and second-to-default optionsgeometric Brownian motioninitial and progressive enlargements of filtrationssuccessive default times

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Credit risk (91G40)

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Cites work

• Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
• Carthaginian enlargement of filtrations
• Changes of filtrations and of probability measures
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• Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo
• Counterparty risk for credit default swaps: impact of spread volatility and default correlation
• Credit default swaps in two-dimensional models with various informations flows
• Defaultable claims in switching models with partial information
• Density approach in modeling successive defaults
• Enlargement of filtrations with finance in view
• scientific article; zbMATH DE number 2144815 (Why is no real title available?)
• scientific article; zbMATH DE number 3390061 (Why is no real title available?)
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• The integral of geometric Brownian motion
• The Wiener disorder problem with finite horizon
• Valuation and hedging of CDS counterparty exposure in a Markov copula model
• What happens after a default: the conditional density approach

Cited in

(5)

• On models of default risk.
• Credit default swaps in two-dimensional models with various informations flows
• Role of information in pricing default-sensitive contingent claims
• Defaultable claims in switching models with partial information
• A martingale representation theorem and valuation of defaultable securities

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