In:
Abstract and Applied Analysis, Hindawi Limited, Vol. 2014 ( 2014), p. 1-17
Abstract:
We assume that the filtration F is generated by a d -dimensional Brownian motion W = ( W 1 , … , W d ) ′ as well as an integer-valued random measure μ ( d u , d y ) . The random variable τ ~ is the default time and L is the default loss. Let G = { G t ; 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 G τ ~ -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.
Type of Medium:
Online Resource
ISSN:
1085-3375
,
1687-0409
Language:
English
Publisher:
Hindawi Limited
Publication Date:
2014
detail.hit.zdb_id:
2064801-7
SSG:
17,1
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