Dynamic one-default model

DOI10.1142/9789814602075_0007MaRDI QIDQ3195065zbMATH OpenOpenAlexFDO

Authors Shiqi Song

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

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

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Cited in

(13)

• Dynamics of multivariate default system in random environment
• Default times, no-arbitrage conditions and changes of probability measures
• On the stochastic flow generated by the one default model in one-dimensional case
• A filtering model on default risk
• Drift operator in a viable expansion of information flow
• The application of Kolmogorov's theorem in the one-default model
• Random time with differentiable conditional distribution function
• scientific article; zbMATH DE number 7227217 (Why is no real title available?)
• Some extensions of Norros' lemma in models with several defaults
• A jump moment as a stopping time and defaultable derivatives
• Martingale representation property in progressively enlarged filtrations
• Projections in enlargements of filtrations under Jacod's absolute continuity hypothesis for marked point processes
• What happens after a default: the conditional density approach

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