Credit default swaps in two-dimensional models with various information flows * - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2019

Credit default swaps in two-dimensional models with various information flows *

Résumé

We study a credit risk model of a financial market in which the dynamics of intensity rates of two default times are described by linear combinations of three independent geometric Brownian motions. The dynamics of two default-free risky asset prices are modeled by two geometric Brownian motions which are dependent of the ones describing the default intensity rates. We obtain closed form expressions for the rational prices of both risk-free and risky credit default swaps given the reference filtration initially and progressively enlarged by the two default times. The accessible default-free reference filtration is generated by the standard Brownian motions driving the model.
Fichier principal
Vignette du fichier
PGMJ4b-2mai2019pg(P0B)g.pdf (346.13 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-02117496 , version 1 (02-05-2019)

Identifiants

  • HAL Id : hal-02117496 , version 1

Citer

Pavel V Gapeev, Monique Jeanblanc. Credit default swaps in two-dimensional models with various information flows *. 2019. ⟨hal-02117496⟩
45 Consultations
63 Téléchargements

Partager

Gmail Facebook X LinkedIn More