An Elementary Approach to the Fundamental Theorems of Asset Pricing in Jump-Diffusion Markets with Credit Risks, Funding Risks, and Collateral

2019 ◽  
Author(s):  
Lee Jackson
Keyword(s):  
Asset Pricing ◽  
Jump Diffusion ◽  
Elementary Approach ◽  
Credit Risks ◽  
Fundamental Theorems

scholarly journals The fundamental theorems of prevision and asset pricing

2008 ◽  
Vol 49 (1) ◽  
pp. 148-158 ◽  
Author(s):  
Mark J. Schervish ◽  
Teddy Seidenfeld ◽  
Joseph B. Kadane
Keyword(s):  
Asset Pricing ◽  
Fundamental Theorems

The Fundamental Theorems of Asset Pricing and the Closed-End Fund Puzzle

2017 ◽  
Author(s):  
Gabriel Frahm ◽  
Alexander Jonen ◽  
Rainer Schhssler
Keyword(s):  
Asset Pricing ◽  
Fundamental Theorems

scholarly journals The Valuation of Credit Default Swap with Counterparty Risk and Collateralization

2019 ◽  
Author(s):  
Tim Xiao
Keyword(s):  
Asset Pricing ◽  
Financial Markets ◽  
Default Risk ◽  
Credit Default Swap ◽  
Counterparty Risk ◽  
New Model ◽  
Credit Risks ◽  
Credit Default ◽  
Default Swap ◽  
Default Dependency

This article presents a new model for valuing a credit default swap (CDS) contract that is affected by multiple credit risks of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing. In fact, correlated default risk is one of the most pervasive threats in financial markets. We also show that a fully collateralized CDS is not equivalent to a risk-free one. In other words, full collateralization cannot eliminate counterparty risk completely in the CDS market.

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