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math.PR2009
Processes of class Sigma, last passage times and drawdowns
Patrick Cheridito, Ashkan Nikeghbali, Eckhard Platen
We propose a general framework to study last passage times, suprema and drawdowns of a large class of stochastic processes. A central role in our approach is played by processes of…
math.PR2009★ 1 cited
On some universal sigma finite measures and some extensions of Doob's optional stopping theorem
Joseph Najnudel, Ashkan Nikeghbali
In this paper, we associate, to any submartingale of class , defined on a filtered probability space , which satisfie…
math.PR2008★ 15 cited
Default times, non arbitrage conditions and change of probability measures
Delia Coculescu, Monique Jeanblanc, Ashkan Nikeghbali
In this paper we give a financial justification, based on non arbitrage conditions, of the hypothesis in default time modelling. We also show how the hypothesis is affe…