Defaultable bonds with an infinite number of Lévy factors

• Autorzy: Jacek Jakubowski , Mariusz Niewęgłowski
• Języki publikacji: EN

Abstrakty

EN

A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting and the forward rates are driven by an infinite number of Lévy factors is considered. The setting includes rating migrations driven by a Markov chain. All basic types of recovery are investigated. We formulate necessary and sufficient conditions (generalized HJM conditions) under which the market is arbitrage-free. Connections with consistency conditions are discussed.

Kategorie tematyczne

• 60G51: Processes with independent increments; L\'evy processes
• 60H30: Applications of stochastic analysis (to PDE, etc.)

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2010
• Tom: 37
• Numer: 3
• Strony: 275-307

Daty

wydano

2010

Twórcy

autor

Jacek Jakubowski

• Institute of Mathematics, University of Warsaw, Banacha 2, 02-097 Warszawa, Poland
• Faculty of Mathematics, and Information Science, Warsaw University of Technology, Plac Politechniki 1, 00-661 Warszawa, Poland

autor

Mariusz Niewęgłowski

• Faculty of Mathematics, and Information Science, Warsaw University of Technology, Plac Politechniki 1, 00-661 Warszawa, Poland

Identyfikatory

DOI

10.4064/am37-3-2