Open Access
2014 The Dynamic Spread of the Forward CDS with General Random Loss
Kun Tian, Dewen Xiong, Zhongxing Ye
Abstr. Appl. Anal. 2014(SI37): 1-17 (2014). DOI: 10.1155/2014/580713


We assume that the filtration F is generated by a d-dimensional Brownian motion W=(W1,,Wd) as well as an integer-valued random measure μ(du,dy). The random variable τ~ is the default time and L is the default loss. Let G={Gt;t0} be the progressive enlargement of F by (τ~,L); that is, G is the smallest filtration including F such that τ~ is a G-stopping time and L is Gτ~-measurable. We mainly consider the forward CDS with loss in the framework of stochastic interest rates whose term structures are modeled by the Heath-Jarrow-Morton approach with jumps under the general conditional density hypothesis. We describe the dynamics of the defaultable bond in G and the forward CDS with random loss explicitly by the BSDEs method.


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Kun Tian. Dewen Xiong. Zhongxing Ye. "The Dynamic Spread of the Forward CDS with General Random Loss." Abstr. Appl. Anal. 2014 (SI37) 1 - 17, 2014.


Published: 2014
First available in Project Euclid: 6 October 2014

zbMATH: 07022650
MathSciNet: MR3216061
Digital Object Identifier: 10.1155/2014/580713

Rights: Copyright © 2014 Hindawi

Vol.2014 • No. SI37 • 2014
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