HAZARD PROCESSES AND MARTINGALE HAZARD PROCESSES

DOI10.1111/j.1467-9965.2010.00471.xzbMath1279.60045arXiv0807.4958OpenAlexW1495770962MaRDI QIDQ4906525

Ashkan Nikeghbali, Delia Coculescu

Publication date: 28 February 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0807.4958

zbMATH Keywords

credit risk modelsrandom timeshazard processenlargements of filtrationshonest timespseudo-stopping timesdefault modelingimmersed filtrations

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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