英文标题：
《Ambiguity in defaultable term structure models》
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作者：
Tolulope Fadina, Thorsten Schmidt
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最新提交年份：
2018
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英文摘要：
  We introduce the concept of no-arbitrage in a credit risk market under ambiguity considering an intensity-based framework. We assume the default intensity is not exactly known but lies between an upper and lower bound. By means of the Girsanov theorem, we start from the reference measure where the intensity is equal to $1$ and construct the set of equivalent martingale measures. From this viewpoint, the credit risky case turns out to be similar to the case of drift uncertainty in the $G$-expectation framework. Finally, we derive the interval of no-arbitrage prices for general bond prices in a Markovian setting.
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中文摘要：
我们引入了模糊信用风险市场中无套利的概念，并考虑了基于强度的框架。我们假设默认强度不完全已知，但介于上限和下限之间。利用Girsanov定理，我们从强度等于$1$的参考测度出发，构造了等价鞅测度集。从这个角度来看，信贷风险案例与美元G$预期框架中的漂移不确定性案例类似。最后，我们推导了马尔可夫环境下一般债券价格的无套利价格区间。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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