Artikel
Optional defaultable markets
The paper deals with defaultable markets, one of the main research areas of mathematical finance. It proposes a new approach to the theory of such markets using techniques from the calculus of optional stochastic processes on unusual probability spaces, which was not presented before. The paper is a foundation paper and contains a number of fundamental results on modeling of defaultable markets, pricing and hedging of defaultable claims and results on the probability of default under such conditions. Moreover, several important examples are presented: a new pricing formula for a defaultable bond and a new pricing formula for credit default swap. Furthermore, some results on the absence of arbitrage for markets on unusual probability spaces and markets with default are also provided.
- Language
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Englisch
- Bibliographic citation
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 5 ; Year: 2017 ; Issue: 4 ; Pages: 1-21 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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defaultable claims
hazard process
martingale deflators
optional processes
hedging
- Event
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Geistige Schöpfung
- (who)
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Abdelghani, Mohamed N.
Melnikov, Alexander V.
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2017
- DOI
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doi:10.3390/risks5040056
- Handle
- Last update
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10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Abdelghani, Mohamed N.
- Melnikov, Alexander V.
- MDPI
Time of origin
- 2017
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