Information Asymmetry In Pricing Of Credit Derivatives
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DOI: 10.1142/S0219024911006413
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References listed on IDEAS
- Umut Çetin & Robert Jarrow & Philip Protter & Yildiray Yildirim, 2008.
"Modeling Credit Risk With Partial Information,"
World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 23, pages 579-590,
World Scientific Publishing Co. Pte. Ltd..
- Cetin, Umut & Jarrow, R. & Protter, P. & Yildirim, Y., 2004. "Modeling credit risk with partial information," LSE Research Online Documents on Economics 2840, London School of Economics and Political Science, LSE Library.
- Umut Cetin & Robert Jarrow & Philip Protter & Yildiray Yildirim, 2004. "Modeling Credit Risk with Partial Information," Papers math/0407060, arXiv.org.
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- Délia Coculescu, 2006. "Valuation of default sensitive claims under imperfect information," Post-Print halshs-00163334, HAL.
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Cited by:
- Caroline Hillairet & Ying Jiao, 2015. "Portfolio optimization with insider’s initial information and counterparty risk," Finance and Stochastics, Springer, vol. 19(1), pages 109-134, January.
- Monique Jeanblanc & Libo Li & Shiqi Song, 2018. "An enlargement of filtration formula with applications to multiple non-ordered default times," Finance and Stochastics, Springer, vol. 22(1), pages 205-240, January.
- Salmerón Garrido, José Antonio & Nunno, Giulia Di & D'Auria, Bernardo, 2022. "Before and after default: information and optimal portfolio via anticipating calculus," DES - Working Papers. Statistics and Econometrics. WS 35411, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Jos'e A. Salmer'on & Giulia Di Nunno & Bernardo D'Auria, 2022. "Before and after default: information and optimal portfolio via anticipating calculus," Papers 2208.07163, arXiv.org, revised May 2023.
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Keywords
Asymmetric information; enlargement of filtrations; default threshold; risk neutral probability measures; pricing of credit derivatives;All these keywords.
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