Default times, no-arbitrage conditions and changes of probability measures
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Auteur(s)
Coculescu, D
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Texte intégral indisponibleTexte intégral indisponibleDescription
In this paper, we give a financial justification, based on no-arbitrage conditions, of the (H)-hypothesis in default time modeling. 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.
Institution partenaire
Langue
English
Date
2012
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