Default times, no-arbitrage conditions and changes of probability measures

DOI10.1007/s00780-011-0170-zzbMath1261.91046arXiv0812.4064OpenAlexW2095261998MaRDI QIDQ1761456

Ashkan Nikeghbali, Delia Coculescu, Monique Jeanblanc-Picqué

Publication date: 15 November 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.4064

zbMATH Keywords

credit risk modelsrandom timesequivalent change of measureenlargements of filtrationsdefault modelingimmersed filtrationsno-arbitrage conditions

Mathematics Subject Classification ID

Related Items (23)

Arbitrage of the first kind and filtration enlargements in semimartingale financial models ⋮ Explicit description of all deflators for market models under random horizon with applications to NFLVR ⋮ Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case ⋮ Martingale representation in progressively enlarged Lévy filtrations ⋮ INFORMATION AND OPTIMAL INVESTMENT IN DEFAULTABLE ASSETS ⋮ The Formation of Financial Bubbles in Defaultable Markets ⋮ Insiders and Their Free Lunches: The Role of Short Positions ⋮ Some Remarks on Enlargement of Filtration and Finance ⋮ Integral representations of martingales for progressive enlargements of filtrations ⋮ From the decompositions of a stopping time to risk premium decompositions ⋮ Filtration shrinkage, the structure of deflators, and failure of market completeness ⋮ On absolutely continuous compensators and nonlinear filtering equations in default risk models ⋮ On arbitrages arising with honest times ⋮ Enlargement of Filtration in Discrete Time ⋮ MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH ⋮ HAZARD PROCESSES AND MARTINGALE HAZARD PROCESSES ⋮ THE MEANING OF MARKET EFFICIENCY ⋮ Change of measure up to a random time: details ⋮ What happens after a default: the conditional density approach ⋮ Progressive enlargements of filtrations with pseudo-honest times ⋮ On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization ⋮ PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING ⋮ A unified approach to pricing and risk management of equity and credit risk

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