Local risk minimization for defaultable markets

Biagini, Francesca und Cretarola, Alessandra (2009): Local risk minimization for defaultable markets. In: Mathematical Finance, Bd. 19, Nr. 4: S. 669-689

Abstract

We study the local risk minimization approach for defaultable markets in a general setting where the asset price dynamics and the default time may influence each other. We find the Föllmer-Schweizer decomposition in this general setting and compute it explicitly in two particular cases, when default time depends on the risky asset's behavior and when only a dependence of discounted asset price on default time is occurring.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 0960-1627
• Sprache: Englisch