No arbitrage in a simple credit risk model

DOI10.1016/j.aml.2014.05.011zbMath1314.91225OpenAlexW2020139719MaRDI QIDQ2349364

Capiński, Marek, Zastawniak, Tomasz

Publication date: 22 June 2015

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2014.05.011

zbMATH Keywords

credit riskmartingale measurearbitrage

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• The mathematics of arbitrage
• Credit risk: Modelling, valuation and hedging
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