General dynamic term structures under default risk

DOI10.1016/j.spa.2017.11.003zbMath1410.91471arXiv1603.03198OpenAlexW2964000322MaRDI QIDQ1615894

Claudio Fontana, Thorsten Schmidt

Publication date: 31 October 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.03198

zbMATH Keywords

credit riskarbitragereduced-form approachstructural approachrecoveryforward rateHJMlarge financial marketdefault compensator

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (9)

An Example of Martingale Representation in Progressive Enlargement by an Accessible Random Time ⋮ DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES ⋮ Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics ⋮ Generalized Cox model for default times ⋮ Term structure modeling with overnight rates beyond stochastic continuity ⋮ Characteristics and Constructions of Default Times ⋮ Affine processes beyond stochastic continuity ⋮ Term structure modelling for multiple curves with stochastic discontinuities ⋮ On the existence of sure profits via flash strategies

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Term structure modelling of defaultable bonds
• Calcul stochastique et problèmes de martingales
• A jump to default extended CEV model: an application of Bessel processes
• Generalized density approach in progressive enlargement of filtrations
• Term-structure models. A graduate course
• What happens after a default: the conditional density approach
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Towards a general theory of bond markets
• Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
• The existence of absolutely continuous local martingale measures
• Systematic equity-based credit risk: A CEV model with jump to default
• On Models of Default Risk
• RATING BASED LÉVY LIBOR MODEL
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING
• A New Perspective on the Fundamental Theorem of Asset Pricing for Large Financial Markets
• AN INFINITE FACTOR MODEL FOR CREDIT RISK
• PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
• Credit risk with infinite dimensional Lévy processes
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Defaultable Lévy Term Structure: Ratings and Restructuring
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Conditional Default Probability and Density
• A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
• A Generalized Intensity-Based Framework for Single-Name Credit Risk
• No Arbitrage Theory for Bond Markets
• Credit risk: Modelling, valuation and hedging

This page was built for publication: General dynamic term structures under default risk