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Default times, no-arbitrage conditions and changes of probability measures · Study

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ArticleDefault times, no-arbitrage conditions and changes of probability measures

Délia Coculescu2012

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Articlegreen2012

Default times, no-arbitrage conditions and changes of probability measures

Délia Coculescu · Monique Jeanblanc · Ashkan Nikeghbali

34 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

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References

2005Stochastic Integration and Differential Equations 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 2001Term Structures of Credit Spreads with Incomplete Accounting Information 1980Semi-Martingales et Grossissement d’une Filtration 2000On Models of Default Risk 1999A Remark on default risk models 1978Changes of filtrations and of probability measures

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2015Arbitrage of the first kind and filtration enlargements in semimartingale financial models 2015PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING

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Year2012

Typearticle

Published2012-02-09

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations34

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-011-0170-z

openalex_workW2095261998

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