An enlargement of filtration formula with applications to multiple non-ordered default times
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DOI: 10.1007/s00780-017-0349-z
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References listed on IDEAS
- El Karoui, Nicole & Jeanblanc, Monique & Jiao, Ying, 2017. "Dynamics of multivariate default system in random environment," Stochastic Processes and their Applications, Elsevier, vol. 127(12), pages 3943-3965.
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Cited by:
- Luke M. Bennett & Wei Hu, 2023. "Filtration enlargement‐based time series forecast in view of insider trading," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 112-140, February.
- Biagini, Francesca & Mazzon, Andrea & Oberpriller, Katharina, 2023. "Reduced-form framework for multiple ordered default times under model uncertainty," Stochastic Processes and their Applications, Elsevier, vol. 156(C), pages 1-43.
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More about this item
Keywords
Enlargement of filtration; Non-ordered default times; Reduced form credit risk modeling; Semimartingale decomposition;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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