Modeling credit risk with partial information.

DOI10.1214/105051604000000251zbMath1048.60048arXivmath/0407060OpenAlexW2949567406MaRDI QIDQ1879905

Umut Çetin, Yildiray Yildirim, Robert A. Jarrow, Philip E. Protter

Publication date: 15 September 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0407060

zbMATH Keywords

credit riskdefault intensitypricing risky debt

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Credit risk (91G40)

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Cites Work

• On Cox processes and credit risky securities
• Excursions in Brownian motion
• Complete markets with discontinuous security price
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Brownian Excursions and Parisian Barrier Options
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Credit risk: Modelling, valuation and hedging
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