Defaultable bonds with an infinite number of Lévy factors

Jacek Jakubowski, and Mariusz Niewęgłowski. "Defaultable bonds with an infinite number of Lévy factors." Applicationes Mathematicae 37.3 (2010): 275-307. <http://eudml.org/doc/279955>.

@article{JacekJakubowski2010,
abstract = {A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting and the forward rates are driven by an infinite number of Lévy factors is considered. The setting includes rating migrations driven by a Markov chain. All basic types of recovery are investigated. We formulate necessary and sufficient conditions (generalized HJM conditions) under which the market is arbitrage-free. Connections with consistency conditions are discussed.},
author = {Jacek Jakubowski, Mariusz Niewęgłowski},
journal = {Applicationes Mathematicae},
keywords = {Lévy processes; defaultable bonds; credit misk; conditional Markov chain},
language = {eng},
number = {3},
pages = {275-307},
title = {Defaultable bonds with an infinite number of Lévy factors},
url = {http://eudml.org/doc/279955},
volume = {37},
year = {2010},
}

TY - JOUR
AU - Jacek Jakubowski
AU - Mariusz Niewęgłowski
TI - Defaultable bonds with an infinite number of Lévy factors
JO - Applicationes Mathematicae
PY - 2010
VL - 37
IS - 3
SP - 275
EP - 307
AB - A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting and the forward rates are driven by an infinite number of Lévy factors is considered. The setting includes rating migrations driven by a Markov chain. All basic types of recovery are investigated. We formulate necessary and sufficient conditions (generalized HJM conditions) under which the market is arbitrage-free. Connections with consistency conditions are discussed.
LA - eng
KW - Lévy processes; defaultable bonds; credit misk; conditional Markov chain
UR - http://eudml.org/doc/279955
ER -