Generalized density approach in progressive enlargement of filtrations

DOI10.1214/EJP.V20-3296zbMATH Open1333.60073MaRDI QIDQ894142FDOQ894142

Ying Jiao, Shanqiu Li

Publication date: 27 November 2015

Published in: Electronic Journal of Probability (Search for Journal in Brave)

zbMATH Keywords

progressive enlargement of filtrationsgeneralized densitysemimartingale decompositionsovereign default modeling

Mathematics Subject Classification ID

Credit risk (91G40) Generalized stochastic processes (60G20) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

Cited In (12)

• MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH
• General dynamic term structures under default risk
• DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM
• LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES
• Generalized Cox model for default times
• DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES
• Stopping times occurring simultaneously
• Joint densities of hitting times for finite state Markov processes
• Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics
• Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case
• Characteristics and Constructions of Default Times
• An Example of Martingale Representation in Progressive Enlargement by an Accessible Random Time

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