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q-fin.MF2019
Construction of Martingale Measure in the Hazard Process Model of Credit Risk
Marek Capiński, Tomasz Zastawniak
In credit risk literature, the existence of an equivalent martingale measure is stipulated as one of the main assumptions in the hazard process model. Here we show by construction…
math.PR2019
Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs
Martin Brown, Tomasz Zastawniak
We show that the lack of arbitrage in a model with both fixed and proportional transaction costs is equivalent to the existence of a family of absolutely continuous single-step pro…