Header

UZH-Logo

Maintenance Infos

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.

Statistics

Citations

Dimensions.ai Metrics
12 citations in Web of Science®
13 citations in Scopus®
17 citations in Microsoft Academic
Google Scholar™

Altmetrics

Downloads

2 downloads since deposited on 13 Dec 2012
0 downloads since 12 months
Detailed statistics

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:17 Feb 2018 00:12
Publisher:Springer
ISSN:0949-2984
OA Status:Closed
Publisher DOI:https://doi.org/10.1007/s00780-011-0170-z
Other Identification Number:merlin-id:14838

Download