Geodesic
Defaultable bonds with an infinite number of Lévy factors
Jacek Jakubowski1 ; Mariusz Niewęgłowski2
1 Institute of Mathematics University of Warsaw Banacha 2 02-097 Warszawa, Poland and Faculty of Mathematics and Information Science Warsaw University of Technology Plac Politechniki 1 00-661 Warszawa, Poland
2 Faculty of Mathematics and Information Science Warsaw University of Technology Plac Politechniki 1 00-661 Warszawa, Poland
Applicationes Mathematicae, Tome 37 (2010) no. 3, pp. 275-307.

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

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.
DOI : 10.4064/am37-3-2
Keywords: market defaultable bonds where bond dynamics heath jarrow morton setting forward rates driven infinite number factors considered setting includes rating migrations driven markov chain basic types recovery investigated formulate necessary sufficient conditions generalized hjm conditions under which market arbitrage free connections consistency conditions discussed

Jacek Jakubowski 1 ; Mariusz Niewęgłowski 2

1 Institute of Mathematics University of Warsaw Banacha 2 02-097 Warszawa, Poland and Faculty of Mathematics and Information Science Warsaw University of Technology Plac Politechniki 1 00-661 Warszawa, Poland
2 Faculty of Mathematics and Information Science Warsaw University of Technology Plac Politechniki 1 00-661 Warszawa, Poland 
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Jacek Jakubowski; Mariusz Niewęgłowski. Defaultable bonds with an infinite number of Lévy factors. Applicationes Mathematicae, Tome 37 (2010) no. 3, pp. 275-307. doi : 10.4064/am37-3-2. http://geodesic.mathdoc.fr/articles/10.4064/am37-3-2/

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