英文标题：
《A generalized intensity based framework for single-name credit risk》
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作者：
Frank Gehmlich and Thorsten Schmidt
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最新提交年份：
2015
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英文摘要：
The intensity of a default time is obtained by assuming that the default indicator process has an absolutely continuous compensator. Here we drop the assumption of absolute continuity with respect to the Lebesgue measure and only assume that the compensator is absolutely continuous with respect to a general $\\sigma$-finite measure. This allows for example to incorporate the Merton-model in the generalized intensity based framework. An extension of the Black-Cox model is also considered. We propose a class of generalized Merton models and study absence of arbitrage by a suitable modification of the forward rate approach of Heath-Jarrow-Morton (1992). Finally, we study affine term structure models which fit in this class. They exhibit stochastic discontinuities in contrast to the affine models previously studied in the literature.
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中文摘要：
默认时间的强度是通过假设默认指示器过程有一个绝对连续的补偿器来获得的。这里我们放弃了关于勒贝格测度的绝对连续性假设，只假设补偿器对于一般$\\sigma$-有限测度是绝对连续的。例如，这允许将默顿模型纳入基于强度的广义框架。还考虑了Black-Cox模型的扩展。我们提出了一类广义Merton模型，并通过对Heath Jarrow Morton（1992）的远期利率方法的适当修改来研究无套利问题。最后，我们研究了适合这一类的仿射项结构模型。与文献中先前研究的仿射模型相比，它们表现出随机不连续性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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