Arbitrage, credit and informational risks / [edited by] Caroline Hillairet, Monique Jeanblanc and Ying Jiao.

Includes bibliographical references and index.

Preface --
Arbitrage --
No-arbitrage conditions and absolutely continuous changes of measure / Claudio Fontana --
A systematic approach to constructing market models with arbitrage / Johannes Ruf, Wolfgang J. Runggaldier --
On the existence of martingale measures in jump difusion market models / Jacopo Mancin, Wolfgang J. Runggaldier --
Arbitrages in a progressive enlargement setting / Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc --
Credit risk --
Pricing credit derivatives with a structural default model / Sebastien Hitier, Ying Zhu --
Reduced-form modeling of counterparty risk on credit derivatives / Stephane Crepey --
Dynamic one-default model / Shiqi Song --
Stochastic sensitivity study for optimal credit allocation / Laurence Carassus, Simone Scotti --
Control problem and information risks --
Discrete-time multi-player stopping and quitting games with redistribution of Payo's / Ivan Guo, Marek Rutkowski --
A note on BSDES with singular driver coeffcients / Monique Jeanblanc, Anthony Reveillac --
A portfolio optimization problem with two prices generated by two information flows / Caroline Hillairet --
Option pricing under stochastic volatility, jumps and cost of information / Sana Mahfoudh, Monique Pontier.

This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics.