Generalized density approach in progressive enlargement of filtrations
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Publication:894142
DOI10.1214/EJP.V20-3296zbMATH Open1333.60073MaRDI QIDQ894142FDOQ894142
Authors: Ying Jiao, Shanqiu Li 
Publication date: 27 November 2015
Published in: Electronic Journal of Probability (Search for Journal in Brave)
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progressive enlargement of filtrationsgeneralized densitysemimartingale decompositionsovereign default modeling
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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