\natural-model with jumps

arXiv1309.7635MaRDI QIDQ6245217FDOQ6245217

Authors: Shiqi Song 

Publication date: 29 September 2013

Abstract: We consider the so-called $atural$-model. It is an one-default model which gives the conditional law of a random time with respect to a reference filtration. This model has been studied in the case where the parameters are continuous. In this paper we will establish the $atural$-model in the case of jump parameters. We then prove the corresponding enlargement of filtration formula and we compute the derivative of the conditional distribution functions of the random time.

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