Dynamic One-default Model

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Publication:3195065

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DOI10.1142/9789814602075_0007zbMath1325.91057OpenAlexW2486946804MaRDI QIDQ3195065

Publication date: 21 October 2015

Published in: Arbitrage, Credit and Informational Risks (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814602075_0007

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (3)

Drift operator in a viable expansion of information flow ⋮ Random Time with Differentiable Conditional Distribution Function ⋮ Martingale representation property in progressively enlarged filtrations

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