Pricing and hedging of rating-sensitive claims modeled by F-doubly stochastic Markov chains

DOI10.1007/978-3-642-18412-3_16MaRDI QIDQ5198569zbMATH OpenOpenAlexFDO

Authors Jacek Jakubowski, Mariusz Niewęgłowski

Publication date 8 August 2011

Published in Advanced Mathematical Methods for Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-18412-3_16

zbMATH Keywords

hedgingcredit derivativescash flowrating migration\(\mathbb F\)-doubly stochastic Markov chaincumulative priceex-dividend price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Credit risk (91G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(5)

• Pricing of unemployment insurance products with doubly stochastic Markov chains
• Pricing bonds and CDS in the model with rating migration induced by a Cox process
• Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors
• Conditional Markov chains: properties, construction and structured dependence
• A class of \(\mathbb F\)-doubly stochastic Markov chains

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