Credit Risk and Credit Derivatives :Mathematical Modeling and Numerical Simulation, Ph.D. Dissertation Sharif University of Technology ; Zohuri Zangeneh, Bijan (Supervisor) ; Jeanblanc, Monique (Supervisor) ; Zamani, Shiva (Co-Advisor) ; Crépey, Stéphane (Co-Advisor)
Abstract
This thesis deals with credit derivatives modeling and consists of two parts:The first part concerns the density model, recently proposed by El Karoui et al. [46], where the standing assumption is that the conditional law of default time given the reference filtration is equivalent to its (non-conditional) law. Under this assumption, we provide alternative (and simpler) proofs for some existing results in the theory of initial and progressive enlargement of filtrations. Also, we present some new results such as the predictable representation theorem for progressively enlarged filtration in the multidimensional case. We then propose several methods to construct density models, in both...
Cataloging briefCredit Risk and Credit Derivatives :Mathematical Modeling and Numerical Simulation, Ph.D. Dissertation Sharif University of Technology ; Zohuri Zangeneh, Bijan (Supervisor) ; Jeanblanc, Monique (Supervisor) ; Zamani, Shiva (Co-Advisor) ; Crépey, Stéphane (Co-Advisor)
Abstract
This thesis deals with credit derivatives modeling and consists of two parts:The first part concerns the density model, recently proposed by El Karoui et al. [46], where the standing assumption is that the conditional law of default time given the reference filtration is equivalent to its (non-conditional) law. Under this assumption, we provide alternative (and simpler) proofs for some existing results in the theory of initial and progressive enlargement of filtrations. Also, we present some new results such as the predictable representation theorem for progressively enlarged filtration in the multidimensional case. We then propose several methods to construct density models, in both...
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