Default times, non arbitrage conditions and change of probability measures

Details Default times, non arbitrage conditions and change of probability measures Default times, non arbitrage conditions and change of probability measures

2008-12-21

arxiv.org/abs/0812.4064v1

Mathematics

Probability

Scientific paper

In this paper we give a financial justification, based on non arbitrage
conditions, of the $(H)$ hypothesis in default time modelling. 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.

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