A martingale representation theorem and valuation of defaultable securities
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Publication:5855965
DOI10.1111/mafi.12244OpenAlexW3015835540MaRDI QIDQ5855965
Catherine Daveloose, Tahir Choulli, Michèle Vanmaele
Publication date: 23 March 2021
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.05858
defaultable securitiesvaluation of securitiesrisk decompositionprogressively enlarged filtrationdefault/time of death/random horizonoptional martingale representation
Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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