Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Compound Lévy random bridges and credit risky asset pricing
In this thesis, we study random bridges of a certain class of Lévy processes and their applications to credit risky asset pricing. In the first part, we construct the compound random bridges(CLRBs) and analyze some tools and properties that make them suitable models for information processes. We foc...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Mathematics and Applied Mathematics
2016
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613233007820800 |
|---|---|
| access_status_str | Open Access |
| author | Ikpe, Dennis Chinemerem |
| author2 | Künzi, Hans-Peter A |
| author_browse | Ikpe, Dennis Chinemerem Künzi, Hans-Peter A |
| author_facet | Künzi, Hans-Peter A Ikpe, Dennis Chinemerem |
| author_sort | Ikpe, Dennis Chinemerem |
| collection | Thesis |
| description | In this thesis, we study random bridges of a certain class of Lévy processes and their applications to credit risky asset pricing. In the first part, we construct the compound random bridges(CLRBs) and analyze some tools and properties that make them suitable models for information processes. We focus on the Markov property, dynamic consistency, measure changes and increment distributions. Thereafter, we consider applications in credit risky asset pricing. We generalize the information based credit risky asset pricing framework to incorporate prematurity default possibilities. Lastly we derive closed-form expressions for default trends and intensities for credit risky bonds with CLRB as the background partial information process. We obtain analytical expressions for specific CLRBs. The second part looks at application of stochastic filtering in the current information based asset pricing framework. First, we formulate credit risky asset pricing in the information-based framework as a filtering problem under incomplete information. We derive the Kalman-Bucy filter in one dimension for bridges of Lévy processes with a given finite variance. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/20681 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:52.713Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/20681 Compound Lévy random bridges and credit risky asset pricing Ikpe, Dennis Chinemerem Künzi, Hans-Peter A Becker, Ronald Mataramvura, Sure Financial Markets Risk Management In this thesis, we study random bridges of a certain class of Lévy processes and their applications to credit risky asset pricing. In the first part, we construct the compound random bridges(CLRBs) and analyze some tools and properties that make them suitable models for information processes. We focus on the Markov property, dynamic consistency, measure changes and increment distributions. Thereafter, we consider applications in credit risky asset pricing. We generalize the information based credit risky asset pricing framework to incorporate prematurity default possibilities. Lastly we derive closed-form expressions for default trends and intensities for credit risky bonds with CLRB as the background partial information process. We obtain analytical expressions for specific CLRBs. The second part looks at application of stochastic filtering in the current information based asset pricing framework. First, we formulate credit risky asset pricing in the information-based framework as a filtering problem under incomplete information. We derive the Kalman-Bucy filter in one dimension for bridges of Lévy processes with a given finite variance. 2016-07-25T11:25:55Z 2016-07-25T11:25:55Z 2016 Doctoral Thesis Doctoral PhD http://hdl.handle.net/11427/20681 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Financial Markets Risk Management Ikpe, Dennis Chinemerem Compound Lévy random bridges and credit risky asset pricing |
| thesis_degree_str | Doctoral |
| title | Compound Lévy random bridges and credit risky asset pricing |
| title_full | Compound Lévy random bridges and credit risky asset pricing |
| title_fullStr | Compound Lévy random bridges and credit risky asset pricing |
| title_full_unstemmed | Compound Lévy random bridges and credit risky asset pricing |
| title_short | Compound Lévy random bridges and credit risky asset pricing |
| title_sort | compound levy random bridges and credit risky asset pricing |
| topic | Financial Markets Risk Management |
| url | http://hdl.handle.net/11427/20681 |
| work_keys_str_mv | AT ikpedennischinemerem compoundlevyrandombridgesandcreditriskyassetpricing |