15 citations · 18 across the 8 of their papers we have counts for
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q-fin.MF2017
Some No-Arbitrage Rules For Converging Asset Prices under Short-Sales Constraints
Delia Coculescu, Monique Jeanblanc
Under short sales prohibitions, no free lunch with vanishing risk (NFLVR-S) is known to be equivalent to the existence of an equivalent supermartingale measure for the price proces…
q-fin.MF2017
A default system with overspilling contagion
Delia Coculescu, Gabriele Visentin
In classical contagion models, default systems are Markovian conditionally on the observation of their stochastic environment, with interacting intensities. This necessitates that…