scientific article; zbMATH DE number 3638888
From MaRDI portal
Publication:4197827
Cited in
(53)- A default system with overspilling contagion
- Successive enlargement of filtrations and application to insider information
- On the characterisation of honest times that avoid all stopping times
- Immersion of strong Brownian filtrations with honest time avoiding stopping times
- Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
- Enlargements of filtrations: initial and progressive enlargements
- Arbitrage of the first kind and filtration enlargements in semimartingale financial models
- Progressive enlargement of filtrations with initial times
- Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula
- Pricing and valuation under the real-world measure
- What happens after a default: the conditional density approach
- Progressive enlargements of filtrations with pseudo-honest times
- Background filtrations and canonical loss processes for top-down models of portfolio credit risk
- Valuation of default-sensitive claims under imperfect information
- Stability of stochastic integrals under change of filtration
- Random time with differentiable conditional distribution function
- From the decompositions of a stopping time to risk premium decompositions
- Random times and multiplicative systems
- Drift operator in a viable expansion of information flow
- Enlargements of filtrations and path decompositions at non stopping times
- A time before which insiders would not undertake risk
- Markov bridges: SDE representation
- On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
- Filtration shrinkage, strict local martingales and the Föllmer measure
- Robust Framework for Quantifying the Value of Information in Pricing and Hedging
- Comportement des semi-martingales dans un grossissement de filtration
- Default and information
- Integral representations of martingales for progressive enlargements of filtrations
- Enlargement of Filtration in Discrete Time
- Drawdowns and the speed of market crash
- Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times
- An explicit model of default time with given survival probability
- A definition and some characteristic properties of pseudo-stopping times
- Non-stopping times and stopping theorems
- The value of foresight
- Unit-linked life insurance policies: optimal hedging in partially observable market models
- On the stochastic behaviour of optional processes up to random times
- Credit risk with asymmetric information on the default threshold
- Liquidity drops
- Martingale representation property in progressively enlarged filtrations
- Tree structured independence for exponential Brownian functionals
- The value of insight
- The insider trading problem in a jump-binomial model
- Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
- BSDEs driven by Lévy process with enlarged filtration and applications in finance
- The calculus of boundary processes
- Nouveaux résultats sur le grossissement des tribus
- Study of a filtration expanded to include an honest time
- Default times, no-arbitrage conditions and changes of probability measures
- Statistics of stochastic differential equations on manifolds and stratified spaces. Abstracts from the workshop held October 3--9, 2021 (hybrid meeting)
- How badly are the Burkholder-Davis-Gundy inequalities affected by arbitrary random times?
- Intensity process for a pure jump Lévy structural model with incomplete information
- Multiperiod security markets with differential information
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4197827)
