A strict local martingale is a local martingale which is not a martingale. There are few explicit examples of “naturally occurring” strict local martingales with jumps available in the literature. The purpose of this paper is to provide such examples, and to illustrate how they might arise...

We study strict local martingales via h-transforms, a method which first appeared in work by Delbaen and Schachermayer. We show that strict local martingales arise whenever there is a consistent family of change of measures where the two measures are not equivalent to one another. Several old...

We present an introduction to mathematical Finance Theory for mathematicians. The approach is to start with an abstract setting and then introduce hypotheses as needed to develop the theory. We present the basics of European call and put options, and we show the connection between American put...

This paper estimates the price for restructuring risk in the US corporate bond market during 1999-2005. Comparing quotes from default swap (CDS) contracts with a restructuring event and without, we find that the average premium for restructuring risk represents 6%-8% of the swap rate without...