The Dynamic Spread of the Forward CDS with General Random Loss

Joint Authors

Ye, Zhongxing
Tian, Kun
Xiong, Dewen

Source

Abstract and Applied Analysis

Issue

Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-17, 17 p.

Publisher

Hindawi Publishing Corporation

Publication Date

2014-05-27

Country of Publication

Egypt

No. of Pages

17

Main Subjects

Mathematics

Abstract EN

We assume that the filtration F is generated by a d-dimensional Brownian motion W=(W1,…,Wd)′ as well as an integer-valued random measure μ(du,dy).

The random variable τ~ is the default time and L is the default loss.

Let G={Gt;t≥0} be the progressive enlargement of F by (τ~,L); that is, G is the smallest filtration including F such that τ~ is a G-stopping time and L is Gτ~-measurable.

We mainly consider the forward CDS with loss in the framework of stochastic interest rates whose term structures are modeled by the Heath-Jarrow-Morton approach with jumps under the general conditional density hypothesis.

We describe the dynamics of the defaultable bond in G and the forward CDS with random loss explicitly by the BSDEs method.

American Psychological Association (APA)

Tian, Kun& Xiong, Dewen& Ye, Zhongxing. 2014. The Dynamic Spread of the Forward CDS with General Random Loss. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-17.
https://search.emarefa.net/detail/BIM-1014259

Modern Language Association (MLA)

Tian, Kun…[et al.]. The Dynamic Spread of the Forward CDS with General Random Loss. Abstract and Applied Analysis No. 2014 (2014), pp.1-17.
https://search.emarefa.net/detail/BIM-1014259

American Medical Association (AMA)

Tian, Kun& Xiong, Dewen& Ye, Zhongxing. The Dynamic Spread of the Forward CDS with General Random Loss. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-17.
https://search.emarefa.net/detail/BIM-1014259

Data Type

Journal Articles

Language

English

Notes

Includes bibliographical references

Record ID

BIM-1014259