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Martingale representation property in progressively enlarged filtrations · Study

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ArticleMartingale representation property in progressively enlarged filtrations

Monique Jeanblanc2015

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Articlebronze2015

Martingale representation property in progressively enlarged filtrations

Monique Jeanblanc · Shiqi Song

43 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Probability and Risk Models

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References

1979Calcul Stochastique et Problèmes de Martingales 2019Semimartingale Theory and Stochastic Calculus 1980Semi-Martingales et Grossissement d’une Filtration 1999A Remark on default risk models 1978Changes of filtrations and of probability measures 1985Grossissement initial, hypothese (H′) et theoreme de Girsanov 2004Hazard rate for credit risk and hedging defaultable contingent claims 2010What happens after a default: The conditional density approach

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2016Counterparty risk and funding: immersion and beyond

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Details

Year2015

Typearticle

Published2015-06-26

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations43

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2015.06.007

openalex_workW1575382579

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