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What happens after a default: The conditional density approach

Citations

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Cited by:

  1. Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2015. "Density approach in modelling successive defaults," Post-Print hal-00870492, HAL.
  2. 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.
  3. Agostino Capponi & José Figueroa-López & Andrea Pascucci, 2015. "Dynamic credit investment in partially observed markets," Finance and Stochastics, Springer, vol. 19(4), pages 891-939, October.
  4. St'ephane Cr'epey & Shiqi Song, 2017. "Invariance properties in the dynamic gaussian copula model ," Papers 1702.03232, arXiv.org.
  5. Monique Jeanblanc & Thibaut Mastrolia & Dylan Possamaï & Anthony Réveillac, 2015. "Utility Maximization With Random Horizon: A Bsde Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-43, November.
  6. Fontana, Claudio & Grbac, Zorana & Jeanblanc, Monique & Li, Qinghua, 2014. "Information, no-arbitrage and completeness for asset price models with a change point," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 3009-3030.
  7. S. Cawston & L. Vostrikova, 2010. "$F$-divergence minimal equivalent martingale measures and optimal portfolios for exponential Levy models with a change-point," Papers 1004.3525, arXiv.org, revised Jun 2011.
  8. Claudio Fontana & Zorana Grbac & Monique Jeanblanc & Qinghua Li, 2013. "Information, no-arbitrage and completeness for asset price models with a change point," Papers 1304.0923, arXiv.org, revised Apr 2014.
  9. Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2016. "Dynamics of multivariate default system in random environment," Working Papers hal-01205753, HAL.
  10. Oliver Janke, 2016. "Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point," Papers 1610.08644, arXiv.org.
  11. Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2013. "Density approach in modelling multi-defaults," Working Papers hal-00870492, HAL.
  12. Goutte, Stéphane & Ngoupeyou, Armand, 2015. "The use of BSDEs to characterize the mean–variance hedging problem and the variance optimal martingale measure for defaultable claims," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1323-1351.
  13. Lijun Bo & Ying Jiao & Xuewei Yang, 2011. "Credit derivatives pricing with default density term structure modelled by L\'evy random fields," Papers 1112.2952, arXiv.org.
  14. Paolo Tella, 2022. "On the Propagation of the Weak Representation Property in Independently Enlarged Filtrations: The General Case," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2194-2216, December.
  15. Gapeev, Pavel V. & Jeanblanc, Monique, 2021. "First-to-default and second-to-default options in models with various information flows," LSE Research Online Documents on Economics 110750, London School of Economics and Political Science, LSE Library.
  16. Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2017. "Dynamics of multivariate default system in random environment," Post-Print hal-01205753, HAL.
  17. Fontana, Claudio & Schmidt, Thorsten, 2018. "General dynamic term structures under default risk," Stochastic Processes and their Applications, Elsevier, vol. 128(10), pages 3353-3386.
  18. Mohamed N. Abdelghani & Alexander V. Melnikov, 2017. "Optional Defaultable Markets," Risks, MDPI, vol. 5(4), pages 1-21, October.
  19. Areski Cousin & Stéphane Crépey & Yu Kan, 2012. "Delta-hedging correlation risk?," Review of Derivatives Research, Springer, vol. 15(1), pages 25-56, April.
  20. Jeanblanc, Monique & Song, Shiqi, 2015. "Martingale representation property in progressively enlarged filtrations," Stochastic Processes and their Applications, Elsevier, vol. 125(11), pages 4242-4271.
  21. Jeanblanc, Monique & Song, Shiqi, 2011. "Random times with given survival probability and their -martingale decomposition formula," Stochastic Processes and their Applications, Elsevier, vol. 121(6), pages 1389-1410, June.
  22. 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 Estadística.
  23. 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.
  24. Joshua Aurand & Yu-Jui Huang, 2019. "Epstein-Zin Utility Maximization on a Random Horizon," Papers 1903.08782, arXiv.org, revised May 2023.
  25. Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2015. "Dynamics of multivariate default system in random environment," Papers 1509.09133, arXiv.org, revised Nov 2016.
  26. Fontana, Claudio, 2018. "The strong predictable representation property in initially enlarged filtrations under the density hypothesis," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 1007-1033.
  27. Cheikh Mbaye & Fr'ed'eric Vrins, 2019. "An arbitrage-free conic martingale model with application to credit risk," Papers 1909.02474, arXiv.org.
  28. Stéphane Crépey & Shiqi Song, 2014. "Invariant Times," Working Papers hal-01088940, HAL.
  29. Stephane Goutte & Armand Ngoupeyou, 2012. "Optimization problem and mean variance hedging on defaultable claims," Papers 1209.5953, arXiv.org.
  30. Ying Jiao & Huyên Pham, 2011. "Optimal investment with counterparty risk: a default-density model approach," Finance and Stochastics, Springer, vol. 15(4), pages 725-753, December.
  31. El Karoui & Mrad Mohamed & Caroline Hillairet, 2022. "Bi-revealed utilities in a defaultable universe : a new point of view on consumption," Working Papers hal-03919186, HAL.
  32. Delia Coculescu & Monique Jeanblanc & Ashkan Nikeghbali, 2012. "Default times, no-arbitrage conditions and changes of probability measures," Finance and Stochastics, Springer, vol. 16(3), pages 513-535, July.
  33. Claudio Fontana & Thorsten Schmidt, 2016. "General dynamic term structures under default risk," Papers 1603.03198, arXiv.org, revised Nov 2017.
  34. Monique Jeanblanc & Marta Leniec, 2015. "Role Of Information In Pricing Default-Sensitive Contingent Claims," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 1-25.
  35. Giulia Di Nunno & Steffen Sjursen, 2013. "Information and optimal investment in defaultable assets," Papers 1312.6032, arXiv.org.
  36. Stéphane Crépey & Shiqi Song, 2017. "Invariance properties in the dynamic gaussian copula model ," Working Papers hal-01455424, HAL.
  37. Pavel V. Gapeev & Monique Jeanblanc, 2020. "Credit Default Swaps In Two-Dimensional Models With Various Informations Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-28, March.
  38. El Karoui, Nicole & Jeanblanc, Monique & Jiao, Ying, 2017. "Dynamics of multivariate default system in random environment," Stochastic Processes and their Applications, Elsevier, vol. 127(12), pages 3943-3965.
  39. Ying Jiao & Yahia Salhi & Shihua Wang, 2022. "Dynamic Bivariate Mortality Modelling," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 917-938, June.
  40. Lijun Bo & Ying Jiao & Xuewei Yang, 2014. "Credit derivatives pricing with default density term structure modelled by Lévy random fields," Post-Print hal-00651397, HAL.
  41. Stéphane Crépey & Shiqi Song, 2014. "Counterparty risk and funding: Immersion and beyond," Working Papers hal-00989062, HAL.
  42. Tim Leung & Michael Ludkovski, 2010. "Optimal Timing to Purchase Options," Papers 1008.3650, arXiv.org, revised Apr 2011.
  43. Antonella Calzolari & Barbara Torti, 2022. "A Note on the Strong Predictable Representation Property and Enlargement of Filtration," Mathematics, MDPI, vol. 10(10), pages 1-12, May.
  44. Li, Libo & Rutkowski, Marek, 2012. "Random times and multiplicative systems," Stochastic Processes and their Applications, Elsevier, vol. 122(5), pages 2053-2077.
  45. Elhiwi, Majdi, 2014. "Default barrier intensity model for credit risk evaluation," Statistics & Probability Letters, Elsevier, vol. 95(C), pages 125-131.
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