摘要翻译：
本文研究了用无差异估价原理确定可违约未定权益的信用风险premia的问题。假设效用偏好是指数的，我们用倒向随机微分方程(BSDE)的解导出了信用风险的无差异premia的表示。该表示所需的BSDE类允许二次增长生成器和随机跳变。由于这类BSDEs的存在唯一性理论尚未发展到所需的一般性，本文的第一部分致力于填补这一空白。利用一个简单的构造性算法，结合已有的关于连续二次BSDEs的结果，给出了随机时刻不连续的二次BSDEs存在唯一性的充分条件。
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英文标题：
《Credit risk premia and quadratic BSDEs with a single jump》
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作者：
Stefan Ankirchner (Institut fur Angewandte Mathematik), Christophette
  Blanchet-Scalliet (ICJ), Anne Eyraud-Loisel (SAF)
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles. Assuming exponential utility preferences we derive representations of indifference premia of credit risk in terms of solutions of Backward Stochastic Differential Equations (BSDE). The class of BSDEs needed for that representation allows for quadratic growth generators and jumps at random times. Since the existence and uniqueness theory for this class of BSDEs has not yet been developed to the required generality, the first part of the paper is devoted to fill that gap. By using a simple constructive algorithm, and known results on continuous quadratic BSDEs, we provide sufficient conditions for the existence and uniqueness of quadratic BSDEs with discontinuities at random times.
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PDF链接：
https://arxiv.org/pdf/0907.1221