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

Related Items (1)

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Cites Work

• Default and information
• Point processes and queues. Martingale dynamics
• Modeling credit risk with partial information.
• Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
• Introductory lectures on fluctuations of Lévy processes with applications.
• ABSOLUTELY CONTINUOUS COMPENSATORS
• 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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