期刊名称：BRE : Brazilian Review of Econometrics / Sociedade Brasileira de Econometria
印刷版ISSN：0101-7012
出版年度：2007
卷号：27
期号：1
页码：107-107–129
出版社：Rio de Janeiro
摘要：The market involving credit derivatives has become increasingly popular and extremely
liquid in the most recent years. The pricing of such instruments offers a myriad of new
challenges to the research community as the dimension of credit risk should be explicitly
taken into account by a quantitative model. In this paper, we describe a doubly stochastic
model with the purpose of pricing and hedging derivatives on securities subject to default
risk. The default event is modeled by the first jump of a counting process Nt, doubly
stochastic with respect to the Brownian filtration which drives the uncertainty of the level
of the underlying state process conditional on no-default event. By assuming a condition
slightly stronger than no arbitrage, i.e., that there is no free lunch with vanishing risk
(NFLVR) from Delbaen and Scharchermayer (1994), we provide all the possible equivalent
martingale measures under this setting. In order to illustrate the method, two simple
examples are presented: the pricing of defaultable stocks, and a framework to price
multi-name credit derivatives such as basket defaults.
