Arbitrage, Credit and Informational Risks

Nonfiction, Science & Nature, Mathematics, Probability, Statistics, Business & Finance, Finance & Investing, Finance

• Author: Caroline Hillairet, Monique Jeanblanc, Ying Jiao
• ISBN: 9789814602082
• Publisher: World Scientific Publishing Company
• Publication: March 18, 2014
• Imprint: WSPC
• Language: English

This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics.

Contents:

• Arbitrage:

  • No-arbitrage Conditions and Absolutely Continuous Changes of Measure (Claudio Fontana)
  • A Systematic Approach to Constructing Market Models with Arbitrage (Johannes Ruf and Wolfgang J Runggaldier)
  • On the Existence of Martingale Measures in Jump Diffusion Market Models (Jacopo Mancin and Wolfgang J Runggaldier)
  • Arbitrages in a Progressive Enlargement Setting (Anna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc)

• Credit Risk:

  • Pricing Credit Derivatives with a Structural Default Model (Sébastien Hitier and Ying Zhu)
  • Reduced-Form Modeling of Counterparty Risk on Credit Derivatives (Stéphane Crépey)
  • Dynamic One-default Model (Shiqi Song)
  • Stochastic Sensitivity Study for Optimal Credit Allocation (Laurence Carassus and Simone Scotti)

• Control Problem and Information Risks:

  • Discrete-Time Multi-Player Stopping and Quitting Games with Redistribution of Payoffs (Ivan Guo and Marek Rutkowski)
  • A Note on BSDEs with Singular Driver Coefficients (Monique Jeanblanc and Anthony Réveillac)
  • A Portfolio Optimization Problem with Two Prices Generated by Two Information Flows (Caroline Hillairet)
  • Option Pricing under Stochastic Volatility, Jumps and Cost of Information (Sana Mahfoudh and Monique Pontier)

Readership: Advanced undergraduates, graduates and researchers in financial mathematics.
Key Features:

• Treats new problems and challenges issued from the recent financial crisis and proposes original research papers on the modeling and management of the related financial risks, notably the credit risk and information asymmetry risks
• The contributors consist of worldwide renowned experts and also promising young scientists in financial mathematics
• Accessible to a larger public including graduate and advanced undergraduate students