Default times, no-arbitrage conditions and changes of probability measures
| Year of publication: |
2012
|
|---|---|
| Authors: | Coculescu, Delia ; Jeanblanc, Monique ; Nikeghbali, Ashkan |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 16.2012, 3, p. 513-535
|
| Publisher: |
Springer |
| Subject: | Default modeling | Credit risk models | Random times | Enlargements of filtrations | Immersed filtrations | No-arbitrage conditions | Equivalent change of measure |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010847045