A martingale representation theorem and valuation of defaultable securities
نویسندگان
چکیده
منابع مشابه
Correlated Defaults and the Valuation of Defaultable Securities
We present an intensity-based model of correlated defaults with application to the valuation of defaultable securities. The model assumes that the conditional hazard rate of default is driven by external common factors as well as other defaults in the system. A proposed recursive procedure can be used to generate default times with a broad class of correlation structures. We compare this approa...
متن کاملMartingale Representation Theorem for the G-expectation
This paper considers the nonlinear theory of G-martingales as introduced by Peng in [16, 17]. A martingale representation theorem for this theory is proved by using the techniques and the results established in [20] for the second order stochastic target problems and the second order backward stochastic differential equations. In particular, this representation provides a hedging strategy in a ...
متن کاملCounterparty Risk and the Pricing of Defaultable Securities
Motivated by recent financial crises in East Asia and the U.S. where the downfall of a small number of firms had an economy-wide impact, this paper generalizes existing reduced-form models to include default intensities dependent on the default of a counterparty. In this model, firms have correlated defaults due not only to an exposure to common risk factors, but also to firm-specific risks tha...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2020
ISSN: 0960-1627,1467-9965
DOI: 10.1111/mafi.12244