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Default times, no-arbitrage conditions and changes of probability measures


Coculescu, D; Jeanblanc, Monique; Nikeghbali, Ashkan (2012). Default times, no-arbitrage conditions and changes of probability measures. Finance and Stochastics, 16(3):513-535.

Abstract

In this paper, we give a financial justification, based on no-arbitrage conditions, of the (H)-hypothesis in default time modeling. We also show how the (H)-hypothesis is affected by an equivalent change of probability measure. The main technique used here is the theory of progressive enlargements of filtrations.

Abstract

In this paper, we give a financial justification, based on no-arbitrage conditions, of the (H)-hypothesis in default time modeling. We also show how the (H)-hypothesis is affected by an equivalent change of probability measure. The main technique used here is the theory of progressive enlargements of filtrations.

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11 citations in Web of Science®
12 citations in Scopus®
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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
07 Faculty of Science > Institute of Mathematics
Dewey Decimal Classification:510 Mathematics
Language:English
Date:July 2012
Deposited On:13 Dec 2012 10:24
Last Modified:24 May 2017 03:07
Publisher:Springer
ISSN:0949-2984
Publisher DOI:https://doi.org/10.1007/s00780-011-0170-z
Other Identification Number:merlin-id:14838

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