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Martingale representation property in progressively enlarged filtrations
13 references·1 citing·32 second hop
Martingale representation property in progressively enlarged filtrations (2015)Martingale representation property in pro…Semimartingale Theory and Stochastic Calculus (2019)Semimartingale Theory and Sto…What happens after a default: The conditional density approach (2010)What happens after a default:…Progressive enlargement of filtrations with initial times (2009)Progressive enlargement of fi…Immersion Property and Credit Risk Modelling (2009)Immersion Property and Credit…Hazard rate for credit risk and hedging defaultable contingent claims (2004)Hazard rate for credit risk a…A Remark on default risk models (1999)A Remark on default risk mode…Autour d'un théorème de tsirelson sur des filtrations Browniennes et non Browniennes (1998)Autour d'un théorème de tsire…Grossissement initial, hypothese (H′) et theoreme de Girsanov (1985)Grossissement initial, hypoth…Semi-Martingales et Grossissement d’une Filtration (1980)Semi-Martingales et Grossisse…Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Study of a filtration expanded to include an honest time (1978)Study of a filtration expande…Grossissement d’une filtration et semi-martingales : Formules explicites (1978)Grossissement d’une filtratio…Changes of filtrations and of probability measures (1978)Changes of filtrations and of…Counterparty risk and funding: immersion and beyond (2016)Counterparty risk and funding…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)A General Formula for Valuing Defaultable Securities (2004)Default and information (2005)DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS (2005)Martingale Methods in Financial Modelling (1997)On cox processes and credit risky securities (1998)Stochastic Integration and Differential Equations (2005)Optimal investment with counterparty risk: a default-density model approach (2010)Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management (2010)Optimal investment under multiple defaults risk: A BSDE-decomposition approach (2013)On Square Integrable Martingales (1967)Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain (2004)Mean field games with common noise (2016)Quasimartingales, martingales locales, semimartingales et filtration naturelle (1977)STOCHASTIC DIFFERENTIAL EQUATIONS AND DIFFUSIONS (2000)Un Cours sur les Intégrales Stochastiques (2002)On arbitrages arising with honest times (2014)Forward, backward and symmetric stochastic integration (1993)Anticipative portfolio optimization (1996)A survey and some generalizations of Bessel processes (2003)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Pathwise properties and homeomorphic flows for stochastic differential equations driven by G -Brownian motion (2009)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Time-changed Lévy processes and option pricing (2003)A GENERAL FRAMEWORK FOR PRICING CREDIT RISK (2004)Hedging of Defaultable Claims (2004)Non-zero-sum stochastic differential reinsurance and investment games with default risk (2017)Additional logarithmic utility of an insider (1998)A monetary value for initial information in portfolio optimization (2003)Valuation of default-sensitive claims under imperfect information (2008)
this work references cited by second hop

References

  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 2019Semimartingale Theory and Stochastic Calculus488 cited
  • 1980Semi-Martingales et Grossissement d’une Filtration330 cited
  • 1999A Remark on default risk models236 cited
  • 1978Changes of filtrations and of probability measures207 cited
  • 1985Grossissement initial, hypothese (H′) et theoreme de Girsanov176 cited
  • 2004Hazard rate for credit risk and hedging defaultable contingent claims121 cited
  • 2010What happens after a default: The conditional density approach110 cited
  • 1978Grossissement d’une filtration et semi-martingales : Formules explicites110 cited
  • 1978Study of a filtration expanded to include an honest time104 cited
  • 2009Progressive enlargement of filtrations with initial times78 cited
  • 1998Autour d'un théorème de tsirelson sur des filtrations Browniennes et non Browniennes57 cited
  • 2009Immersion Property and Credit Risk Modelling49 cited

Cited by

  • 2016Counterparty risk and funding: immersion and beyond41 cited

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