Multiple defaults and contagion risks

Preprint English OPEN
Jiao, Ying;
(2009)
  • Publisher: HAL CCSD
  • Subject: [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR] | [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | Quantitative Finance - Portfolio Management | [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] | Mathematics - Probability | [QFIN.PM]Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM]

We study multiple defaults where the global market information is modelled as progressive enlargement of filtrations. We shall provide a general pricing formula by establishing a relationship between the enlarged filtration and the reference default-free filtration in t... View more
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