Default times, non arbitrage conditions and change of probability measures

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dc.creatorCoculescu, Delia
dc.creatorJeanblanc, Monique
dc.creatorNikeghbali, Ashkan
dc.date2008-12-21
dc.date.accessioned2026-07-07T12:21:11Z
dc.date.available2026-07-07T12:21:11Z
dc.descriptionIn this paper we give a financial justification, based on non arbitrage conditions, of the $(H)$ hypothesis in default time modelling. We also show how the $(H)$ hypothesis is affected by an equivalent change of probability measure. The main technique used here is the theory of progressive enlargements of filtrations.
dc.identifierhttps://arxiv.org/abs/0812.4064
dc.identifierhttp://arxiv.org/abs/0812.4064
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/213285
dc.subjectProbability
dc.titleDefault times, non arbitrage conditions and change of probability measures
dc.typetext

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