INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES
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Publication:3094325
DOI10.1142/S0219024911006413zbMath1282.91329arXiv1002.3256OpenAlexW2084495507MaRDI QIDQ3094325
Publication date: 24 October 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1002.3256
asymmetric informationenlargement of filtrationsdefault thresholdpricing of credit derivativesrisk neutral probability measures
Derivative securities (option pricing, hedging, etc.) (91G20) Economics of information (91B44) Credit risk (91G40)
Related Items (2)
An enlargement of filtration formula with applications to multiple non-ordered default times ⋮ Portfolio optimization with insider's initial information and counterparty risk
Cites Work
- Calcul stochastique et problèmes de martingales
- A jump to default extended CEV model: an application of Bessel processes
- Additional utility of insiders with imperfect dynamical information
- Martingale representation theorems for initially enlarged filtrations.
- Pricing and trading credit default swaps in a hazard process model
- Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
- Comparison of insiders' optimal strategies depending on the type of side-information
- On Models of Default Risk
- Insider Trading in a Continuous Time Market Model
- Term Structures of Credit Spreads with Incomplete Accounting Information
- PARTIAL INFORMATION AND HAZARD PROCESS
- Credit risk: Modelling, valuation and hedging
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