摘要翻译:
研究了信息不对称条件下信用衍生品的定价问题。经理人对企业的价值过程和违约阈值有完整的信息,而市场上的投资者只有部分的观察,尤其是对违约阈值的观察。利用过滤放大的框架来区分不同的信息结构。在这些情况下,我们指定风险中性概率,并评估违约敏感性或有索赔。
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英文标题:
《Information Asymmetry in Pricing of Credit Derivatives》
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作者:
Caroline Hillairet (CMAP), Ying Jiao (PMA)
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最新提交年份:
2010
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类:Mathematics 数学
二级分类:Probability 概率
分类描述:Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用:例如中心极限定理,大偏差,随机微分方程,统计力学模型,排队论
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英文摘要:
We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the market have only partial observations, especially about the default threshold. Different information structures are distinguished using the framework of enlargement of filtrations. We specify risk neutral probabilities and we evaluate default sensitive contingent claims in these cases.
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PDF链接:
https://arxiv.org/pdf/1002.3256