Search Results - subject:"defaultable claim"

The Valuation of Interest Rate Swap with Bilateral Counterparty Risk

Xiao, Tim - 2017

This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counterparty credit risk. The counterparty defaults are modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The...

Persistent link: https://www.econbiz.de/10012061521

The use of BSDEs to characterize the mean–variance hedging problem and the variance optimal martingale measure for defaultable claims

Goutte, Stéphane; Ngoupeyou, Armand - In: Stochastic Processes and their Applications 125 (2015) 4, pp. 1323-1351

In this paper, we consider the problem of mean–variance hedging of a defaultable claim. We assume the underlying assets …

Persistent link: https://www.econbiz.de/10011194116

Equilibrium model with default and insider's dynamic information

Campi, Luciano; Cetin, Umut; Danilova, Albina - Université Paris-Dauphine (Paris IX) - 2013

We consider an equilibrium model á la Kyle-Back for a defaultable claim issued by a given firm. In such a market the …

Persistent link: https://www.econbiz.de/10011073367

Equilibrium model with default and dynamic insider information

Campi, Luciano; Çetin, Umut; Danilova, Albina - In: Finance and Stochastics 17 (2013) 3, pp. 565-585

We consider an equilibrium model à la Kyle–Back for a defaultable claim issued by a given firm. In such a market the …

Persistent link: https://www.econbiz.de/10010997065