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

Delia Coculescu (), Monique Jeanblanc () and Ashkan Nikeghbali ()

Finance and Stochastics, 2012, vol. 16, issue 3, 513-535

Keywords: Default modeling; Credit risk models; Random times; Enlargements of filtrations; Immersed filtrations; No-arbitrage conditions; Equivalent change of measure; 60G07; 91G40; C60; G12; G14 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s00780-011-0170-z

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