Coculescu, Delia; Jeanblanc, Monique; Nikeghbali, Ashkan (2012). Default times, no-arbitrage conditions and changes of probability measures. Finance and Stochastics, 16(3):513-535.
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.
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.
| 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 |
| Scopus Subject Areas: | Physical Sciences > Statistics and Probability
Social Sciences & Humanities > Finance Social Sciences & Humanities > Statistics, Probability and Uncertainty |
| Language: | English |
| Date: | July 2012 |
| Deposited On: | 13 Dec 2012 10:24 |
| Last Modified: | 23 Jan 2022 22:53 |
| Publisher: | Springer |
| ISSN: | 0949-2984 |
| OA Status: | Green |
| Publisher DOI: | https://doi.org/10.1007/s00780-011-0170-z |
| Other Identification Number: | merlin-id:14838 |
Coculescu, Delia