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A definition and some characteristic properties of pseudo-stopping times
5 references·8 citing·35 second hop
A definition and some characteristic properties of pseudo-stopping times (2005)A definition and some characteristic prop…On Models of Default Risk (2000)On Models of Default RiskContinuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Semi-Martingales et Grossissement d’une Filtration (1980)Semi-Martingales et Grossisse…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…The robust pricing–hedging duality for American options in discrete time financial markets (2018)The robust pricing–hedging du…BSDEs of counterparty risk (2015)BSDEs of counterparty riskArbitrages in a Progressive Enlargement Setting (2014)Arbitrages in a Progressive E…Default times, no-arbitrage conditions and changes of probability measures (2012)Default times, no-arbitrage c…HAZARD PROCESSES AND MARTINGALE HAZARD PROCESSES (2010)HAZARD PROCESSES AND MARTINGA…About the Pricing Equations in Finance (2010)About the Pricing Equations i…Defaultable Game Options in a Hazard Process Model (2009)Defaultable Game Options in a…DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK (2008)DEFAULTABLE OPTIONS IN A MARK…Backward Stochastic Differential Equations in Finance (1997)Limit Theorems for Stochastic Processes (2003)Credit Risk: Modeling, Valuation and Hedging (2004)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Pricing the risks of default (1998)A General Formula for Valuing Defaultable Securities (2004)A jump to default extended CEV model: an application of Bessel processes (2006)BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (2012)On Square Integrable Martingales (1967)Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain (2004)What happens after a default: The conditional density approach (2010)Mean field games with common noise (2016)Stochastic Integration and Differential Equations (2005)BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game (2009)Convertible Bonds in a Defaultable Diffusion Model (2011)A general version of the fundamental theorem of asset pricing (1994)Reduced Form Modelling for Credit Risk (2007)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Arbitrage of the first kind and filtration enlargements in semimartingale financial models (2015)PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING (2015)The Pricing of Options and Corporate Liabilities (1973)Theory of rational option pricing (2005)Maximum principle for optimal control problems of forward–backward regime-switching system and applications (2012)A Robust Numerical Scheme For Pricing American Options Under Regime Switching Based On Penalty Method (2013)Prices of State-Contingent Claims Implicit in Option Prices (1978)MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH (2016)The Robust Superreplication Problem: A Dynamic Approach (2019)Study of a filtration expanded to include an honest time (1978)Un Cours sur les Intégrales Stochastiques (2002)Valuation of default-sensitive claims under imperfect information (2008)Progressive enlargement of filtrations with initial times (2009)Forward, backward and symmetric stochastic integration (1993)Anticipative portfolio optimization (1996)A survey and some generalizations of Bessel processes (2003)The Variance Gamma Process and Option Pricing (1998)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1980Semi-Martingales et Grossissement d’une Filtration330 cited
  • 2000On Models of Default Risk238 cited
  • 1978Changes of filtrations and of probability measures207 cited
  • 1978Grossissement d’une filtration et semi-martingales : Formules explicites110 cited

Cited by

  • 2010About the Pricing Equations in Finance42 cited
  • 2008DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK42 cited
  • 2018The robust pricing–hedging duality for American options in discrete time financial markets36 cited
  • 2012Default times, no-arbitrage conditions and changes of probability measures34 cited
  • 2015BSDEs of counterparty risk27 cited
  • 2009Defaultable Game Options in a Hazard Process Model27 cited
  • 2010HAZARD PROCESSES AND MARTINGALE HAZARD PROCESSES23 cited
  • 2014Arbitrages in a Progressive Enlargement Setting21 cited

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