Intensity process for a pure jump Lévy structural model with incomplete information

DOI10.1016/j.spa.2014.10.016zbMath1322.60056arXiv1405.3767OpenAlexW2143541443MaRDI QIDQ2258826

Xin Dong, Harry Zheng

Publication date: 27 February 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.3767

zbMATH Keywords

first passage timepure jump Lévy processcredit risk modelpath-dependent intensity processunobservable random barrier

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)

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Cites Work

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• Credit Risk Models with Incomplete Information
• Term Structures of Credit Spreads with Incomplete Accounting Information
• The Variance Gamma Process and Option Pricing

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