Banks often seek to reduce the default risk exposure associated with their corporate loan portfolios by entering into credit derivative positions. They can, for example, buy default protection on selected borrowers, or diversify the portfolio by selling protection on other names. The design of...

We propose a new nonlinear filtering model for a better estimation of credit rating transition matrix consistent with the hypothesis that rating transition intensities as well as dynamics of financial asset prices depend on some unobservable macroeconomic factor. We attempt a branching particle...

Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets and their forwards dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes discounting and portfolio rebalancing, and whose...

We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and loss given defaults characterizing the...

Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets and their forwards dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes discounting and portfolio rebalancing, and whose...

We apply Geometric Arbitrage Theory to obtain results in Mathematical Finance, which do not need stochastic differential geometry in their formulation.First, for a generic market dynamics given by a multidimensional Itô's process we specify and prove the equivalence between (NFLVR) and expected...