%0 Journal Article
%T Default times, non arbitrage conditions and change of probability measures
%A Delia Coculescu
%A Monique Jeanblanc
%A Ashkan Nikeghbali
%J Mathematics
%D 2008
%I arXiv
%X In this paper we give a financial justification, based on non arbitrage conditions, of the $(H)$ hypothesis in default time modelling. We also show how the $(H)$ hypothesis is affected by an equivalent change of probability measure. The main technique used here is the theory of progressive enlargements of filtrations.
%U http://arxiv.org/abs/0812.4064v1