PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS

DOI10.1111/j.1467-9965.2012.00533.xzbMath1331.91186arXiv1110.0403OpenAlexW2163829900MaRDI QIDQ5416703

Agostino Capponi, José E. Figueroa-López, Jeffrey A. Nisen

Publication date: 14 May 2014

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

Full work available at URL: https://arxiv.org/abs/1110.0403

zbMATH Keywords

option pricingcredit riskregime-switching modelsvulnerable claimssemimartingale representations

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (10)

Optimal credit investment and risk control for an insurer with regime-switching ⋮ Detecting stock market regimes from option prices ⋮ Optimal investment of variance-swaps in jump-diffusion market with regime-switching ⋮ European option pricing with market frictions, regime switches and model uncertainty ⋮ Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching ⋮ DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING ⋮ OPTION PRICING USING A REGIME SWITCHING STOCHASTIC DISCOUNT FACTOR ⋮ Optimal Portfolio in a Regime-switching Model ⋮ Portfolio optimization in a defaultable Lévy-driven market model ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS

Uses Software

• QRM

Cites Work

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