Default Times, Non-Arbitrage Conditions and Changeof 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 isaffected by an equivalent change of probability measure.[...]

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Year of publication:	2009
Authors:	Coculescu, Delia ; Jeanblanc, Monique ; Nikeghbali, Ashkan
Institutions:	National Centre of Competence in ResearchFinancial Valuation and Risk Management
Subject:	Arbitrage \| Stabilität

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Table of Contents
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1. Introduction
2. Non arbitrage conditions
3. Basic facts about random times and progressive enlargements offiltrations
4. Immersion property and equivalent changes of probability measures:first results
5. Some martingale representation properties
6. Equivalent changes of probability measures: further results
References

Persistent link: https://www.econbiz.de/10005868711