Enlargement of filtration with finance in view

A Aksamit, M Jeanblanc - 2017 - Springer
At the end of the 1970s, Jean Jacod, Thierry Jeulin and Marc Yor started a systematic study
of enlargement of filtration which focuses on the properties of stochastic processes under a …

[HTML][HTML] Martingale representation property in progressively enlarged filtrations

M Jeanblanc, S Song - Stochastic Processes and their Applications, 2015 - Elsevier
Consider G the progressive enlargement of a filtration F with a random time τ. Assuming that,
in F, the martingale representation property holds, we examine conditions under which the …

Generalized BSDE and reflected BSDE with random time horizon

A Aksamit, L Li, M Rutkowski - Electronic Journal of Probability, 2023 - projecteuclid.org
Motivated by structural, reduced-form and hybrid models of the third party and counterparty
credit risk, we study a generalized backward stochastic differential equations (BSDE) up to a …

Characteristics and constructions of default times

M Jeanblanc, L Li - SIAM Journal on Financial Mathematics, 2020 - SIAM
The first goal of this article is to identify, for different defaultable claims, the fundamental
processes which uniquely determine the predefault price and therefore require to be …

[HTML][HTML] Random times with given survival probability and their F-martingale decomposition formula

M Jeanblanc, S Song - Stochastic Processes and their Applications, 2011 - Elsevier
Given a filtered probability space [Formula: see text], an F-adapted continuous increasing
process Λ and a positive (P, F) local martingale N such that [Formula: see text] satisfies Zt≤ …

[HTML][HTML] An explicit model of default time with given survival probability

M Jeanblanc, S Song - Stochastic Processes and their Applications, 2011 - Elsevier
For a given filtered probability space (Ω, F, P), an F-adapted continuous increasing process
Λ and a positive PF local martingale N such that Λ 0= 0 and N te− Λ t≤ 1, we construct a …

Generalized density approach in progressive enlargement of filtrations

Y Jiao, S Li - 2015 - projecteuclid.org
Motivated by credit risk modelling, we consider a type of default times whose probability law
can have atoms, where standard intensity and density hypotheses in the enlargement of …

CVA and vulnerable options pricing by correlation expansions

F Antonelli, A Ramponi, S Scarlatti - Annals of Operations Research, 2021 - Springer
We consider the problem of computing the credit value adjustment (CVA) of a European
option in presence of the wrong way risk in a default intensity setting. Namely we model the …

CVA and vulnerable options in stochastic volatility models

E Alos, F Antonelli, A Ramponi… - International Journal of …, 2021 - World Scientific
This work aims to provide an efficient method to evaluate the Credit Value Adjustment (CVA)
for a vulnerable European option, which is an option subject to some default event …

Approximate value adjustments for European claims

F Antonelli, A Ramponi, S Scarlatti - European Journal of Operational …, 2022 - Elsevier
We consider the problem of computing the Value Adjustment of European contingent claims
when the possibility of default of either party is considered, possibly including also funding …