2010-11-01, English, Article, Journal or magazine article edition: CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP. Ankirchner, Stefan; Blanchet-Scalliet, Christophette; Eyraud-Loisel, Anne

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Physical Description
  • Magazine/​Journal article
Published
  • World Scientific Publishing Co. Pte Ltd., 2010 Nov
Language
  • English

Edition details

Title
  • CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP.
Appears In
  • International Journal of Theoretical and Applied Finance, v.13, no.07, 2010 Nov, p.1103 (ISSN: 0219-0249)
Author
  • Ankirchner, Stefan
  • Blanchet-Scalliet, Christophette
  • Eyraud-Loisel, Anne
Published
  • World Scientific Publishing Co. Pte Ltd., 2010 Nov
Physical Description
  • Magazine/​Journal article
Subjects
Target Audience
  • Academic
Summary
  • To access, purchase, authenticate, or subscribe to the full-text of this article, please visit this link: http:/​/​dx.doi.org/​10.1142/​S0219024910006133 Byline: STEFAN ANKIRCHNER, CHRISTOPHETTE BLANCHET-SCALLIET, ANNE EYRAUD-LOISEL This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles. Assuming exponential utility preferences we derive representations of indifference premia of credit risk in terms of solutions of Backward Stochastic Differential Equations (BSDE). The class of BSDEs needed for that representation allows for quadratic growth generators and jumps at random times. Since the existence and uniqueness theory for this class of BSDEs has not yet been developed to the required generality, the first part of the paper is devoted to fill that gap. By using a simple constructive algorithm, and known results on continuous quadratic BSDEs, we provide sufficient conditions for the existence and uniqueness of quadratic BSDEs with discontinuities at random times.
Terms of Use
  • COPYRIGHT 2010 World Scientific Publishing Co. Pte Ltd.
Language
  • English
Database
  • Gale Academic OneFile
Identifier
  • 463143317
  • 10.1142/​S0219024910006133

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