Construction of multi-default models with full viability

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.

arXiv admin note: substantial text overlap with arXiv:1510.05212; text overlap with arXiv:1505.03766, arXiv:1505.00560, arXiv:1207.1662

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• On arbitrages arising from honest times
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Cited by in corpus (1)

• Drift operator in a viable expansion of information flow