Progressive enlargement of filtrations with initial times
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- R. J. Elliott & M. Jeanblanc & M. Yor, 2000. "On Models of Default Risk," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 179-195, April.
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- El Karoui, Nicole & Jeanblanc, Monique & Jiao, Ying, 2010. "What happens after a default: The conditional density approach," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1011-1032, July.
- Kun Tian & Dewen Xiong & Wenchao Yan & George Xianzhi Yuan, 2018. "The study of dynamics for credit default risk by backward stochastic differential equation method," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-32, December.
- Alessandro Calvia & Emanuela Rosazza Gianin, 2019. "Risk measures and progressive enlargement of filtration: a BSDE approach," Papers 1904.13257, arXiv.org, revised Mar 2020.
- Monique Jeanblanc & Libo Li & Shiqi Song, 2018. "An enlargement of filtration formula with applications to multiple non-ordered default times," Finance and Stochastics, Springer, vol. 22(1), pages 205-240, January.
- Tomasz Bielecki & Monique Jeanblanc & Marek Rutkowski, 2011. "Hedging of a credit default swaption in the CIR default intensity model," Finance and Stochastics, Springer, vol. 15(3), pages 541-572, September.
- Jeanblanc, Monique & Song, Shiqi, 2015. "Martingale representation property in progressively enlarged filtrations," Stochastic Processes and their Applications, Elsevier, vol. 125(11), pages 4242-4271.
- Jeanblanc, Monique & Song, Shiqi, 2011. "Random times with given survival probability and their -martingale decomposition formula," Stochastic Processes and their Applications, Elsevier, vol. 121(6), pages 1389-1410, June.
- Younes Kchia & Martin Larsson, 2011. "Credit contagion and risk management with multiple non-ordered defaults," Papers 1104.5272, arXiv.org, revised Jun 2011.
- Bogdan Iftimie, 2023. "A robust investment-consumption optimization problem in a switching regime interest rate setting," Journal of Global Optimization, Springer, vol. 86(3), pages 713-739, July.
- Fontana, Claudio, 2018. "The strong predictable representation property in initially enlarged filtrations under the density hypothesis," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 1007-1033.
- Aksamit, Anna & Jeanblanc, Monique & Rutkowski, Marek, 2019. "Integral representations of martingales for progressive enlargements of filtrations," Stochastic Processes and their Applications, Elsevier, vol. 129(4), pages 1229-1258.
- Ying Jiao & Huyên Pham, 2011. "Optimal investment with counterparty risk: a default-density model approach," Finance and Stochastics, Springer, vol. 15(4), pages 725-753, December.
- Song, Shiqi, 2016. "Drift operator in a viable expansion of information flow," Stochastic Processes and their Applications, Elsevier, vol. 126(8), pages 2297-2322.
- Jeanblanc, Monique & Song, Shiqi, 2011. "An explicit model of default time with given survival probability," Stochastic Processes and their Applications, Elsevier, vol. 121(8), pages 1678-1704, August.
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- Stéphane Crépey & Shiqi Song, 2014. "Counterparty risk and funding: Immersion and beyond," Working Papers hal-00989062, HAL.
- Antonella Calzolari & Barbara Torti, 2022. "A Note on the Strong Predictable Representation Property and Enlargement of Filtration," Mathematics, MDPI, vol. 10(10), pages 1-12, May.
- Matteo Ludovico Bedini & Rainer Buckdahn & Hans-Jurgen Engelbert, 2016. "Brownian Bridges on Random Intervals," Papers 1601.01811, arXiv.org.
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Keywords
Progressive enlargement of filtrations Credit risk Canonical decomposition of semi-martingales;Statistics
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