Construction of multi-default models with full viability
Probability
2015-11-03 v1
Abstract
We study multi-default model which satisfies the quasi-left-continuity, the martingale representation property, the drift multiplier assumption and the full viability. We use -model to construct one such model.
Cite
@article{arxiv.1511.00331,
title = {Construction of multi-default models with full viability},
author = {Shiqi Song},
journal= {arXiv preprint arXiv:1511.00331},
year = {2015}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1510.05212; text overlap with arXiv:1505.03766, arXiv:1505.00560, arXiv:1207.1662