Modeling the Forward CDS Spreads with Jumps

DOI10.1080/07362994.2012.668435zbMath1242.91198OpenAlexW2046188224MaRDI QIDQ2893285

Dewen Xiong, Michael Kohlmann

Publication date: 20 June 2012

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

Full work available at URL: https://doi.org/10.1080/07362994.2012.668435

zbMATH Keywords

adjoint system of BSDEsforward CDSHJM with jumpssystem of BSDEs

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

The dynamic spread of the forward CDS with general random loss

Cites Work

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• Bond Market Structure in the Presence of Marked Point Processes
• The Mean-Variance Hedging in a Bond Market with Jumps
• Defaultable Bond Markets with Jumps