15 citations · 26 across the 12 of their papers we have counts for
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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…
math.PR2008★ 2 cited
A generalization of Doob's maximal identity
Ashkan Nikeghbali
In this paper, using martingale techniques, we prove a generalization of Doob's maximal identity in the setting of continuous nonnegative local submartingales of the form…