Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives (Q3000885)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives |
scientific article; zbMATH DE number 5901444
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives |
scientific article; zbMATH DE number 5901444 |
Statements
Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives (English)
0 references
31 May 2011
0 references
Azéma supermartingale
0 references
càdlàg martingale
0 references
survival process
0 references
Doob-Meyer decomposition
0 references
Girsanov's change of a probability measure
0 references
Brownian filtration
0 references
0 references
0.87017405
0 references
0.86330503
0 references
0.86203986
0 references
0 references
0.85146093
0 references
0.8497219
0 references
0.84699637
0 references
0.8436513
0 references
