The Dynamic Spread of the Forward CDS with General Random Loss
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;t≥0} be the progressive enlargement of F by (τ~,L); that is, G is the sma...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/580713 |