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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Default times, no-arbitrage conditions and changes of probability measures |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Finance and Stochastics |
| Publisher | Springer |
| Geographical Reach | international |
| ISSN | 0949-2984 |
| Volume | 16 |
| Number | 3 |
| Page Range | 513 - 535 |
| Date | 2012 |
| Abstract Text | 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. |
| Digital Object Identifier | 10.1007/s00780-011-0170-z |
| Other Identification Number | merlin-id:14838 |
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