Pricing and Hedging of Rating-Sensitive Claims Modeled by $\mathbb{F}$-doubly Stochastic Markov Chains

DOI10.1007/978-3-642-18412-3_16zbMath1283.91178OpenAlexW2139919783MaRDI QIDQ5198569

Mariusz Andrzej Niewȩgłowski, Jacek Jakubowski

Publication date: 8 August 2011

Published in: Advanced Mathematical Methods for Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-18412-3_16

zbMATH Keywords

hedgingcredit derivativescash flowrating migration\(\mathbb F\)-doubly stochastic Markov chaincumulative priceex-dividend price

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (2)

Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors ⋮ Conditional Markov chains: properties, construction and structured dependence

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