`Finem Lauda' or the risks in swaps

DOI10.1016/0167-6687(90)90008-2zbMath0714.62097OpenAlexW2001067450MaRDI QIDQ751146

Freddy Delbaen, Philippe Artzner

Publication date: 1990

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(90)90008-2

zbMATH Keywords

optimal stoppingmartingaleinterest rate riskpremiumcompensatorpredictable processswaptionsreserveswapinterest rate swapscredit insurancedescription of riskevaluation of riskintensity processlevel premiumsprice of risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (6)

Recursive valuation of defaultable securities and the timing of resolution of uncertainty ⋮ Bond options and bond portfolio insurance ⋮ AN ANALYTICAL APPROXIMATION FORMULA FOR THE PRICING OF CREDIT DEFAULT SWAPS WITH REGIME SWITCHING ⋮ A Monte-Carlo based approach for pricing credit default swaps with regime switching ⋮ DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS ⋮ The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model

Cites Work

• Term structure of interest rates: The martingale approach
• Martingales and stochastic integrals in the theory of continuous trading
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