Defaultable claims in switching models with partial information

DOI10.1142/S0219024919500067MaRDI QIDQ5384676zbMATH OpenOpenAlexWikidataFDO

Authors Pavel Gapeev, Monique Jeanblanc

Publication date 24 June 2019

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

Full work available at URL https://doi.org/10.1142/s0219024919500067

zbMATH Keywords

conditional probability densitycontingent claimsfiltering equationsgeometric Brownian motionpartial informationposterior probabilitiesrandom drift rateswitching time

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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• Credit default swaps in two-dimensional models with various informations flows
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• FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS
• On models of default risk.
• Valuation of default-sensitive claims under imperfect information

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• On some exponential functionals of Brownian motion
• On the integral of geometric Brownian motion
• Pricing and filtering in a two-dimensional dividend switching model
• PRICING OF CONTINGENT CLAIMS IN A TWO-DIMENSIONAL MODEL WITH RANDOM DIVIDENDS
• The integral of geometric Brownian motion
• The Wiener disorder problem with finite horizon

Cited in

(5)

• Two frameworks for pricing defaultable derivatives
• Pricing and filtering in a two-dimensional dividend switching model
• FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS
• Credit default swaps in two-dimensional models with various informations flows
• Valuation of default-sensitive claims under imperfect information

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