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arXiv · 1511.00331

Construction of multi-default models with full viability

Shiqi Song
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Abstract

We study multi-default model which satisfies the quasi-left-continuity, the martingale representation property, the drift multiplier assumption and the full viability. We use $\natural$-model to construct one such model.

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Shiqi Song. 2015-11-01. Construction of multi-default models with full viability. https://arxiv.org/abs/1511.00331

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