This paper studies pricing of default able claims in a semi martingale setting …

martingale representation. The aim is threefold: theoretically, for modeling one need not presume a risk-neutral world which is … martingale property; and computationally, the valuation of derivatives can be simplified …

equivalent martingale measure is not unique for this market, and there are non-replicable claims. The martingale prices and the … hedging error can vary significantly and take extreme values, for some extreme choices of the equivalent martingale measures …. Some rational choices of the equivalent martingale measures are suggested and discussed, including implied measures …