CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP

DOI10.1142/S0219024910006133zbMath1204.91133arXiv0907.1221MaRDI QIDQ3067766

Anne Eyraud-Loisel, Christophette Blanchet-Scalliet, Stefan Ankirchner

Publication date: 13 January 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0907.1221

zbMATH Keywords

utility maximizationprogressive enlargement of filtrationscredit risk premiumbackward stochastic differential equations (BSDE)defaultable contingent claims

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Credit risk (91G40)

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Cites Work

• Continuous exponential martingales and BMO
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Hazard rate for credit risk and hedging defaultable contingent claims
• Classical and variational differentiability of BSDEs with quadratic growth
• Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
• Utility maximization in incomplete markets
• Changes of filtrations and of probability measures
• Comportement des semi-martingales dans un grossissement de filtration
• Backward Stochastic Differential Equations in Finance

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