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hal.structure.identifierDepartment of Mathematics, King's College London, Strand, London WC2R 2LS, United Kingdom
dc.contributor.authorDumitrescu, Roxana*
hal.structure.identifierUniversity of Bielefeld
dc.contributor.authorGrigorova, Miryana*
hal.structure.identifierLaboratoire de Probabilités, Statistiques et Modélisations [LPSM (UMR_8001)]
dc.contributor.authorQuenez, Marie-Claire*
hal.structure.identifierInria de Paris
dc.contributor.authorSulem, Agnès*
dc.date.accessioned2018-09-03T14:31:24Z
dc.date.available2018-09-03T14:31:24Z
dc.date.issued2016-12
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17932
dc.language.isoenen
dc.subjectBackward Stochastic Differential Equationsen
dc.subject.ddc515en
dc.titleBSDEs with default jumpen
dc.typeCommunication / Conférence
dc.description.abstractenWe study (nonlinear) Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion and a martingale attached to a default jump with intensity process λ = (λ t). The driver of the BSDEs can be of a generalized form involving a singular optional finite variation process. In particular, we provide a comparison theorem and a strict comparison theorem. In the special case of a generalized λ-linear driver, we show an explicit representation of the solution, involving conditional expectation and an adjoint exponential semimartingale; for this representation, we distinguish the case where the singular component of the driver is predictable and the case where it is only optional. We apply our results to the problem of (nonlinear) pricing of European contingent claims in an imperfect market with default. We also study the case of claims generating intermediate cashflows, in particular at the default time, which are modeled by a singular optional process. We give an illustrating example when the seller of the European option is a large investor whose portfolio strategy can influence the probability of default.en
dc.identifier.citationpages233-263
dc.relation.ispartoftitleComputation and Combinatorics in Dynamics, Stochastics and Control The Abel Symposium, Rosendal, Norway, August 2016
dc.relation.ispartofeditorElena Celledoni, Giulia Di Nunno, Kurusch Ebrahimi-Fard, Hans Zanna Munthe-Kaas
dc.relation.ispartofpublnameSpringer
dc.relation.ispartofpublcityBerlin
dc.relation.ispartofdate2018
dc.relation.ispartofpages737
dc.subject.ddclabelAnalyseen
dc.relation.ispartofisbn978-3-030-01592-3
dc.relation.conftitleComputation and Combinatorics in Dynamics, Stochastics and Control. The Abel Symposium
dc.relation.confdate2016-08
dc.relation.confcityRosendal
dc.relation.confcountryNorway
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2018-09-03T14:24:28Z
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