Default times, no-arbitrage conditions and changes of probability measures

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Auteur(s)

Coculescu, D

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Descrizione

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.

Sujets

Secteur services > Services financiers et bancaires

Institution partenaire

Université de Zürich - Faculté des sciences économiques

Langue

English

Data

2012