Free Access
Issue |
ESAIM: PS
Volume 18, 2014
|
|
---|---|---|
Page(s) | 829 - 853 | |
DOI | https://doi.org/10.1051/ps/2014003 | |
Published online | 29 October 2014 |
- M. Barlow, Study of a filtration expanded to include an honest time. Probab. Theory Relat. Fields 44 (1978) 307–323. [Google Scholar]
- M. Barlow, M. Emery, F. Knight, S. Song and M. Yor, Autour d’un théorème de Tsirelson sur des filtrations browniennes et non browniennes. Séminaire de Probabilité, XXXII. Springer-Verlag Berlin (1998). [Google Scholar]
- M. Barlow and J. Pitman and M. Yor, On Walsh’s Brownian motion. Séminaire de Probabilité, XXIII. Springer-Verlag Berlin (1989) [Google Scholar]
- A. Bélanger and S. Shreve and D. Wong, A unified model for credit derivatives. Working paper (2002). [Google Scholar]
- F. Biagini and A. Cretarola, Local risk-minimization for defaultable claims with recovery process. Appl. Math. Optim. 65 (2012) 293–314. [CrossRef] [MathSciNet] [Google Scholar]
- T. Bielecki and M. Jeanblanc and M. Rutkowski, Credit Risk Modelling. Osaka University Press (2009). [Google Scholar]
- P. Billingsley, Convergence of probability measures. John Wiley & Sons (1968). [Google Scholar]
- P. Brémaud and M. Yor, Changes of filtrations and of probability measures. Prob. Theory Relat. Fields 4 (1978) 269–295. [Google Scholar]
- G. Callegaro and M. Jeanblanc and B. Zargari, Carthaginian enlargement of filtrations. ESAIM: PS 17 (2013) 550–566. [CrossRef] [EDP Sciences] [Google Scholar]
- L. Chaumont and M. Yor, Exercises in probability: a guide tour from measure theory to random processes, via conditioning. Cambridge University Press (2009). [Google Scholar]
- C. Dellacherie and M. Emery, Filtrations indexed by ordinals; application to a conjecture of S. Laurent. Working paper (2012). [Google Scholar]
- C. Dellacherie and P. Meyer, Probabilités et potentiel Chapitres I à IV. Hermann Paris (1975). [Google Scholar]
- C. Dellacherie and P. Meyer, Probabilités et potentiel Chapitres XVII à XXIV. Hermann Paris (1992). [Google Scholar]
- N. El. Karoui and M. Jeanblanc and Y. Jiao, What happens after a default: the conditional density approach. Stoch. Process. Appl. 120 (2010) 1011–1032. [CrossRef] [Google Scholar]
- M. Emery and W. Schachermayer, A remark on Tsirelson’s stochastic differential equation. Séminaire de Probabilités XXXIII, Springer-Verlag Berlin (1999) 291–303. [Google Scholar]
- M. Emery and W. Schachermayer, On Vershik’s standardness criterion and Tsirelson’s notion of cosiness. Séminaire de Probabilités XXXV. Springer (2001) 265–305. [Google Scholar]
- C. Fontana and M. Jeanblanc and S. Song, On arbitrages arising with honest times. Finance Stoch. 18 (2014) 515–543. [CrossRef] [MathSciNet] [Google Scholar]
- R. Handel On the exchange of intersection and supremum of σ-fields in filtering theory. Israel J. Math. 192 (2012) 763. [Google Scholar]
- S.W. He and J.G. Wang and J.A. Yan, Semimartingale Theory And Stochastic Calculus. Science Press CRC Press Inc (1992). [Google Scholar]
- M. Jeanblanc and M. Rutkowski, Modeling default risk: an overview Math. Finance: Theory and Practice. Fudan University High Education Press (1999). [Google Scholar]
- M. Jeanblanc and S. Song, An explicit model of default time with given survival probability. Stoch. Process. Appl. 121 (2010) 1678–1704. [CrossRef] [Google Scholar]
- M. Jeanblanc and S. Song, Random times with given survival probability and their F-martingale decomposition formula. Stoch. Process. Appl. 121 (2010) 1389–1410. [CrossRef] [Google Scholar]
- M. Jeanblanc and S. Song, Martingale representation theorem in progressively enlarged filtrations (2012). Preprint arXiv:1203.1447. [Google Scholar]
- M. Jeanblanc and Y. LeCam, Reduced form modelling for credit risk (2008). Available on: defaultrisk.com [Google Scholar]
- T. Jeulin Semi-martingales et grossissement d’une filtration, vol. 833 of Lect. Notes Math. Springer (1980). [Google Scholar]
- T. Jeulin and M. Yor, Grossissement d’une filtration and semi-martingales: formules explicites. Séminaire de Probabilités XII (1978) 78–97. [Google Scholar]
- Y. Jiao, Multiple defaults and contagion risks with global and default-free information. Working paper (2010). [Google Scholar]
- I. Kharroubi and T. Lim, Progressive enlargement of filtrations and backward SDEs with jumps. Working paper (2011). [Google Scholar]
- S. Kusuoka, A remark on default risk models. Adv. Math. Econ. 1 (1999) 69–82. [CrossRef] [Google Scholar]
- A. Nikeghbali and E. Platen, On honest times in financial modeling (2008). Preprint arXiv:0808.2892. [Google Scholar]
- H. Pham, Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management. Stoch. Process. Appl. 120 (2010) 1795–1820. [CrossRef] [Google Scholar]
- Ph. Protter, Stochastic integration and differential equations, 2nd edition. Springer (2004). [Google Scholar]
- L. Rogers and D. Williams, Diffusions, Markov Processes, and Martingales, vol. 1, Foundations. John Wiley and Sons (1994). [Google Scholar]
- S. Song, Grossissement d’une filtration et problèmes connexes. Thesis Université Paris IV (1987). [Google Scholar]
- S. Song, Drift operator in a market affected by the expansion of information flow: a case study (2012). Preprint arXiv:1207.1662v1. [Google Scholar]
- S. Song, Local solution method for the problem of enlargement of filtration (2013). Preprint arXiv:1302.2862. [Google Scholar]
- C. Stricker and M. Yor, Calcul stochastique dépendant d’un paramètre. Probab. Theory Relat. Fields 45 (1978) 109–133. [Google Scholar]
- H. von Weizsäcker, Exchanging the order of taking suprema and countable intersections of σ-algebras. Ann. Inst. Henri Poincaré Section B, Tome 19 1 (1983) 91–100. [Google Scholar]
- D. Wu, Dynamized copulas and applications to counterparty credit risk. Ph.D. Thesis, University of Evry (2012). [Google Scholar]
- K. Yano and M. Yor, Around Tsirelson’s equation, or: The evolution process may not explain everything (2010). Preprint arXiv:0906.3442. [Google Scholar]
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.