Dynamics of multivariate default system in random environment (Q1679470): Difference between revisions

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-Monique Jeanblanc-Picqué
@@ Property / author: Monique Jeanblanc-Picqué / rank @@
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@@ Property / author @@
+Monique Jeanblanc-Picqué
@@ Property / author: Monique Jeanblanc-Picqué / rank @@
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+On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
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+Martingale representation theorems for initially enlarged filtrations.
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+A monetary value for initial information in portfolio optimization
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+Carthaginian enlargement of filtrations
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+RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES
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+Background filtrations and canonical loss processes for top-down models of portfolio credit risk
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+What happens after a default: the conditional density approach
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+Density Approach in Modeling Successive Defaults
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+On Models of Default Risk
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