Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives (Q3000885)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives |
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Statements
Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives (English)
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31 May 2011
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Azéma supermartingale
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càdlàg martingale
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survival process
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Doob-Meyer decomposition
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Girsanov's change of a probability measure
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Brownian filtration
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