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

Coculescu, Delia ; Jeanblanc, Monique ; Nikeghbali, Ashkan

In: Finance and Stochastics, 2012, vol. 16, no. 3, p. 513-535

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    Titre
    • Default times, no-arbitrage conditions and changes of probability measures
    Auteur
    • Coculescu, Delia. Institut für Mathematik, Universität Zürich, Winterthurerstrasse 190, 8057, Zürich, Switzerland
    • Jeanblanc, Monique. Département de Mathématiques, Université d'Evry Val d'Essonne and Institut Europlace de Finance, 23, Boulevard de France, 91037, Evry Cedex, France
    • Nikeghbali, Ashkan. Institut für Mathematik, Universität Zürich, Winterthurerstrasse 190, 8057, Zürich, Switzerland
    Type de document
    • Postprint
    Identifiant OAI-PMH
    • oai:doc.rero.ch:310138
    Summary
    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