Motivated by the European sovereign debt crisis, we propose a hybrid sovereign default
model that combines an accessible part taking into account the evolution of the sovereign …

This paper quantifies the interplay between the no-arbitrage notion of no unbounded profit
with bounded risk (NUPBR) and additional progressive information generated by a random …

This paper completes the studies undertaken in Aksamit et al.(2017, 2018)[[1],[2]] and
Choulli and Deng (2017)[[8]], where we quantify the impact of a random time on the no …

We study the behaviour at the terminal time T of the minimal solution of a backward
stochastic differential equation when the terminal data can take the value+∞ with positive …

Given two filtrations F ⊂ G, we study under which conditions the F-optional projection and
the F-dual optional projection coincide for the class of G-optional processes with integrable …

This paper addresses the question of how an arbitrage-free semimartingale model is
affected when stopped at a random horizon. We focus on No-Unbounded-Profit-with …

The occurrence of some events can impact asset prices and produce losses. The amplitude
of these losses are partly determined by the degree of predictability of those events by the …

This paper addresses the question of how an arbitrage-free semimartingale model is
affected when stopped at a random horizon or when an honest time is incorporated …

In this work, for a reference filtration FF, we develop a method for computing the
semimartingale decomposition of F F-martingales in a specific type of enlargement of F F. As …

In classical contagion models, default systems are Markovian conditionally on the
observation of their stochastic environment, with interacting intensities. This necessitates …