Similar Search Results

Default Times, Non-Arbitrage Conditions and Changeof Probability Measures

Coculescu, Delia; Jeanblanc, Monique; Nikeghbali, Ashkan - National Centre of Competence in ResearchFinancial … - 2009

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.[...]

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

Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices

Coculescu, Delia; Jeanblanc, Monique - In: Finance and stochastics 23 (2019) 2, pp. 397-421

Persistent link: https://www.econbiz.de/10012023743

Representing Martingale measures when asset prices are continuous and bounded

Delbaen, Freddy - In: Mathematical finance : an international journal of … 2 (1992) 2, pp. 107-130

Persistent link: https://www.econbiz.de/10001184899

Arbitrage and free lunch with bounded risk for unbounded continuous processes

Delbaen, Freddy - In: Mathematical finance : an international journal of … 4 (1994) 4, pp. 343-348

Persistent link: https://www.econbiz.de/10001185071

A note on the no arbitrage condition for international financial markets

Delbaen, Freddy - In: Financial engineering and the Japanese markets 3 (1996) 3, pp. 239-251

Persistent link: https://www.econbiz.de/10001215393

The mathematics of arbitrage

Delbaen, Freddy; Schachermayer, Walter - 2006

Persistent link: https://www.econbiz.de/10002123958