Optional Defaultable Markets
نویسندگان
چکیده
منابع مشابه
Optional Defaultable Markets
The paper deals with defaultable markets, one of the main research areas of mathematical finance. It proposes a new approach to the theory of such markets using techniques from the calculus of optional stochastic processes on unusual probability spaces, which was not presented before. The paper is a foundation paper and contains a number of fundamental results on modeling of defaultable markets...
متن کاملValuation Model of Defaultable Bond Values in Emerging Markets
This paper develops a model to value defaultable bonds in emerging markets. Default occurs when some signaling process hits a pre-defined default barrier. The signaling variable is considered to be some macro-economic variables such as foreign exchange rates. The dynamics of the default barrier depend on the volatility and the drift of the signaling variable. We derive a closedform solution of ...
متن کاملPricing and Portfolio Optimization Analysis in Defaultable Regime-Switching Markets
We analyze pricing and portfolio optimization problems in defaultable regime switching markets driven by a underlying continuous-time Markov process. We contribute to both of these problems by obtaining new representations of option prices and optimal portfolio strategies under regime-switching. Using our option price representation, we develop a novel efficient method to price claims which may...
متن کاملHedging of Defaultable Claims
The goal of these lectures is to present a survey of recent developments in the practically important and challenging area of hedging credit risk. In a companion work, Bielecki et al. (2004a), we presented techniques and results related to the valuation of defaultable claims. It should be emphasized that in most existing papers on credit risk, the risk-neutral valuation of defaultable claims is...
متن کاملTerm Structures of Defaultable Bonds
In this essay we introduce three types of credit pricing models: first and second generation structural-form models and reduced-form models with relative papers and their main results. This paper mainly focuses on the reduced-form credit pricing model by explaining Duffie and Singleton’s paper Modeling Term Structure of Defaultable Bonds (1999). A detailed explanation of the paper’s deductions ...
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: Risks
سال: 2017
ISSN: 2227-9091
DOI: 10.3390/risks5040056