ORCID: https://orcid.org/0000-0001-9801-5259 and Cretarola, Alessandra
(2009):
Local risk minimization for defaultable markets.
In: Mathematical Finance, Vol. 19, No. 4: pp. 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.
Item Type: | Journal article |
---|---|
Faculties: | Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics |
Subjects: | 500 Science > 510 Mathematics |
ISSN: | 0960-1627 |
Language: | English |
Item ID: | 109883 |
Date Deposited: | 25. Mar 2024, 13:25 |
Last Modified: | 25. Mar 2024, 13:25 |