scientific article; zbMATH DE number 3638888
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Publication:4197827
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(55)- Multiperiod security markets with differential information
- Stability of stochastic integrals under change of filtration
- The value of foresight
- Default times, no-arbitrage conditions and changes of probability measures
- Drawdowns and the speed of market crash
- Liquidity drops
- Intensity process for a pure jump Lévy structural model with incomplete information
- Progressive enlargement of filtrations with initial times
- Background filtrations and canonical loss processes for top-down models of portfolio credit risk
- Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
- On the stochastic behaviour of optional processes up to random times
- Unit-linked life insurance policies: optimal hedging in partially observable market models
- Integral representations of martingales for progressive enlargements of filtrations
- Enlargements of filtrations and path decompositions at non stopping times
- On the characterisation of honest times that avoid all stopping times
- Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
- How badly are the Burkholder-Davis-Gundy inequalities affected by arbitrary random times?
- Progressive enlargements of filtrations with pseudo-honest times
- Filtration shrinkage, strict local martingales and the Föllmer measure
- BSDEs driven by Lévy process with enlarged filtration and applications in finance
- A definition and some characteristic properties of pseudo-stopping times
- Statistics of stochastic differential equations on manifolds and stratified spaces. Abstracts from the workshop held October 3--9, 2021 (hybrid meeting)
- Arbitrage of the first kind and filtration enlargements in semimartingale financial models
- Pricing and valuation under the real-world measure
- On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
- Drift operator in a viable expansion of information flow
- Nouveaux résultats sur le grossissement des tribus
- Random time with differentiable conditional distribution function
- The value of insight
- Study of a filtration expanded to include an honest time
- Comportement des semi-martingales dans un grossissement de filtration
- Random times and multiplicative systems
- A time before which insiders would not undertake risk
- From the decompositions of a stopping time to risk premium decompositions
- Enlargements of filtrations: initial and progressive enlargements
- Credit risk with asymmetric information on the default threshold
- Martingale representation property in progressively enlarged filtrations
- Immersion of strong Brownian filtrations with honest time avoiding stopping times
- Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times
- Robust Framework for Quantifying the Value of Information in Pricing and Hedging
- Enlargement of Filtration in Discrete Time
- The calculus of boundary processes
- Successive enlargement of filtrations and application to insider information
- Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula
- An explicit model of default time with given survival probability
- Markov bridges: SDE representation
- The insider trading problem in a jump-binomial model
- A default system with overspilling contagion
- Invariance times transfer properties
- Linear decomposition and anticipating integral for certain random variables
- Tree structured independence for exponential Brownian functionals
- Non-stopping times and stopping theorems
- Valuation of default-sensitive claims under imperfect information
- Default and information
- What happens after a default: the conditional density approach
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