Ayu Xie

Utility Indifference Valuation for Defaultable Claims under a Structural Model with Hawkes Jump-Diffusion Processes

We study the utility indifference valuation of defaultable contingent claims in a Black–Cox structural framework where the firm’s asset value follows a Hawkes-type jump-diffusion process. The self-exciting and path-dependent jump intensity captures clustering effects of shocks and allows for self-contagion in the firm’...