Okhrati, R;
(2019)
Hedging the Risk of Delayed Data in Defaultable Markets.
Applied Mathematical Finance
, 26
(2)
pp. 101-130.
10.1080/1350486X.2019.1590784.
Preview |
Text
Okhrati_2019_intensity_11.pdf - Accepted Version Download (400kB) | Preview |
Abstract
We investigate hedging the risk of delayed data in certain defaultable securities through the local risk minimization approach. From a financial point of view, this indicates that in addition to the risk of default, investors also face incomplete accounting data. In our analysis, the delay is modeled by a random time change, and different levels of information, including the full market’s, management’s, and investors’ information, are distinguished. We obtain semi-explicit solutions for pseudo locally risk minimizing hedging strategies from the perspective of investors where the results are presented according to the solutions of partial differential equations. In obtaining the main results of this paper, we apply a filtration expansion theorem that determines the canonical decomposition of stopped special semimartingales in an enlarged filtration of investors’ information.
| Type: | Article |
|---|---|
| Title: | Hedging the Risk of Delayed Data in Defaultable Markets |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1080/1350486X.2019.1590784 |
| Publisher version: | https://doi.org/10.1080/1350486X.2019.1590784 |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | Defaultable claims, Pseudo local risk minimization, Intensity, Delayed data, Random time change |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Civil, Environ and Geomatic Eng |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10081493 |
Archive Staff Only
 |
View Item |
