68 citations · 121 across the 3 of their papers we have counts for
3 papers
What happens after a default: the conditional density approach
Nicole El Karoui, Monique Jeanblanc, Ying Jiao
We present a general model for default time, making precise the role of the intensity process, and showing that this process allows for a knowledge of the conditional distribution…
Pricing and trading credit default swaps in a hazard process model
Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski
In the paper we study dynamics of the arbitrage prices of credit default swaps within a hazard process model of credit risk. We derive these dynamics without postulating that the i…
Minimal -martingale measures for exponential Lévy processes
Monique Jeanblanc, Susanne Klöppel, Yoshio Miyahara
Let be a multidimensional Lévy process under in its own filtration. The -minimal martingale measure is defined as that equivalent local martingale measure for $\…