This paper proposes a machine learning approach to estimate physical forward default intensities. Default probabilities … default process. The major contribution to previous literature is to allow the estimation of non-linear forward intensities by …

thoroughly studied in the economic literature, a mathematical martingale theory of bubbles, based on an absence of arbitrage has … construct a flow in the space of equivalent martingale measures and we study the shifting perception of the fundamental value of … martingale measure used for pricing. In this way we are able to unify the classical martingale theory of bubbles with a …