Default times, no-arbitrage conditions and changes of probability measures
نویسندگان
چکیده
منابع مشابه
Default times, no-arbitrage conditions and changes of probability measures
In this paper we give a financial justification, based on non arbitrage conditions, of the (H) hypothesis in default time modelling. 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.
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2012
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-011-0170-z