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q-fin.MF2019
An arbitrage-free conic martingale model with application to credit risk
Cheikh Mbaye, Frédéric Vrins
Conic martingales refer to Brownian martingales evolving between bounds. Among other potential applications, they have been suggested for the sake of modeling conditional survival…
q-fin.MF2019
Conditional survival probabilities under partial information: a recursive quantization approach with applications
Cheikh Mbaye, Abass Sagna, Frédéric Vrins
We consider a structural model where the survival/default state is observed together with a noisy version of the firm value process. This assumption makes the model more realistic…