We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset's filtration, and the intensity of the default time. We finally discuss some examples. Copyright Blackwell Publishers, Inc..
We present a general model for default times, making precise the role of the intensity process, and ...
The first goal of this article is to identify, for different defaultable claims, the fundamental pro...
We present a general model for default time, making precise the role of the intensity process, and s...
This thesis contains two parts : The first one deals with a complete market driven by a jump diffusi...
This thesis contains two parts : The first one deals with a complete market driven by a jump diffusi...
This thesis contains two parts : The first one deals with a complete market driven by a jump diffusi...
The occurrence of some events can impact asset prices and produce losses. The amplitude of these los...
The occurrence of some events can impact asset prices and produce losses. The amplitude of these los...
The occurrence of some events can impact asset prices and produce losses. The amplitude of these los...
The occurrence of some events can impact asset prices and produce losses. The amplitude of these los...
In this paper, we present a filtering model on a default risk related to mathematical finance. We re...
In this paper, we present a filtering model on a default risk related to mathematical finance. We re...
The occurrence of some events can impact asset prices and produce losses. The amplitude of these los...
Abstract. In this paper, we present a filtering model on a default risk related to mathematical fina...
the default intensity does not exist unless the time of default is totally inaccessible. When the fi...
We present a general model for default times, making precise the role of the intensity process, and ...
The first goal of this article is to identify, for different defaultable claims, the fundamental pro...
We present a general model for default time, making precise the role of the intensity process, and s...
This thesis contains two parts : The first one deals with a complete market driven by a jump diffusi...
This thesis contains two parts : The first one deals with a complete market driven by a jump diffusi...
This thesis contains two parts : The first one deals with a complete market driven by a jump diffusi...
The occurrence of some events can impact asset prices and produce losses. The amplitude of these los...
The occurrence of some events can impact asset prices and produce losses. The amplitude of these los...
The occurrence of some events can impact asset prices and produce losses. The amplitude of these los...
The occurrence of some events can impact asset prices and produce losses. The amplitude of these los...
In this paper, we present a filtering model on a default risk related to mathematical finance. We re...
In this paper, we present a filtering model on a default risk related to mathematical finance. We re...
The occurrence of some events can impact asset prices and produce losses. The amplitude of these los...
Abstract. In this paper, we present a filtering model on a default risk related to mathematical fina...
the default intensity does not exist unless the time of default is totally inaccessible. When the fi...
We present a general model for default times, making precise the role of the intensity process, and ...
The first goal of this article is to identify, for different defaultable claims, the fundamental pro...
We present a general model for default time, making precise the role of the intensity process, and s...
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