Monique Jeanblanc

most citedMinimal

f^{q}

-martingale measures for exponential Lévy processes

68 citations · 83 across the 2 of their papers we have counts for

collaborators

2 papers

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 $(H)$ hypothesis in default time modelling. We also show how the $(H)$ hypothesis is affe…

math.PR2007★ 68 cited

Minimal $f^{q}$ -martingale measures for exponential Lévy processes

Monique Jeanblanc, Susanne Klöppel, Yoshio Miyahara

Let $L$ be a multidimensional Lévy process under $P$ in its own filtration. The $f^{q}$ -minimal martingale measure $Q_{q}$ is defined as that equivalent local martingale measure for $\…

Default times, non arbitrage conditions and change of probability measures

Minimal fq-martingale measures for exponential Lévy processes

Minimal $f^{q}$ -martingale measures for exponential Lévy processes