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Local Risk-Minimization for Defaultable Markets
| Content Provider | Semantic Scholar |
|---|---|
| Author | Biagini, Francesca Parmeggiani, Alberto |
| Copyright Year | 2007 |
| 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 in uence each other. We nd 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. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://amsdottorato.unibo.it/422/1/PhDthesis.pdf |
| Alternate Webpage(s) | https://www.math.kth.se/pde_finance07/presentations/PDE-Finance07_Biagini.pdf |
| Alternate Webpage(s) | https://www.fm.mathematik.uni-muenchen.de/download/publications/biagini_cretarola_2009_mathfin.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |