In the present paper, we study both the approximation of a continuous-time model by a sequence of discrete-time price models driven by semimargingales with credit risk, and the convergence of these price processes (in terms of the triplets) under a framework that allows the practitioner a...

A no-arbitrage framework to model interest rates with credit risk, based on the LIBOR additive process, and an approach to price corporate bonds in incomplete markets, is presented in this paper. We derive the no-arbitrage conditions under different conditions of recovery, and we obtain new...