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Local Risk-Minimization for Defaultable Markets
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When
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17.00
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Where
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U8
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Presentations
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Speaker
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Francesca Biagini
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From
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Mathematisches Institut der Universität München
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Abstract
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We study the local risk-minimization approach for defaultable markets in a general setting where the Brownian motion and the default time may influence each other.
We find the F\"ollmer-Schweizer decomposition in this general setting, when a recovery payment is due either at time of default or at time of maturity.
We compute it explicitly in two particular cases, when default time depends on the risky asset's behaviour and when only a dependence of discounted asset price on default time is occurring.
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For further information
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Tom Hewlett (Postgraduate Administrator) Ext. 6879
Department of Statistics, Columbia House
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