The Dynamic Spread of the Forward CDS with General Random Loss
Joint Authors
Ye, Zhongxing
Tian, Kun
Xiong, Dewen
Source
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
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