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...

Full description

Bibliographic Details
Main Authors: Kun Tian, Dewen Xiong, Zhongxing Ye
Format: Article
Language:English
Published: Hindawi Limited 2014-01-01
Series:Abstract and Applied Analysis
Online Access:http://dx.doi.org/10.1155/2014/580713