DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK
نویسندگان
چکیده
منابع مشابه
Defaultable Options in a Markovian Intensity Model of Credit Risk
Note to the Reader: This is an updated version of the paper forthcoming under the same title in the journal Mathematical Finance, meant for consistency with the latest developments of the companion paper [4].
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1 Department of Applied Mathematics, Illinois Institute of Technology, Chicago, IL 60616, USA 2 Département de Mathématiques, Université d’Évry Val d’Essonne, 91025 Évry Cedex, France 3 Europlace Institute of Finance, Palais Brongniart-28 Place de la Bourse, 75002 Paris, France 4 School of Mathematics and Statistics, University of New South Wales, Sydney, NSW 2052, Australia 5 Faculty of Mathem...
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We provide a concise exposition of theoretical results that appear in modeling default time as a random time, we study in details the invariance martingale property and we establish a representation theorem which leads, in a complete market setting, to the hedging portfolio of a vulnerable claim. Our main result is that, to hedge a defaultable claim one has to invest the value of this contingen...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2008
ISSN: 0960-1627,1467-9965
DOI: 10.1111/j.1467-9965.2008.00345.x