Article citationsMore>>

Cont, R. and Tankov, P. (2004) Financial Modeling with Jump Processes. Chapman & Hall/CRC, Boca Raton, London, New York.

has been cited by the following article:

• TITLE: Conditional Law of the Hitting Time for a Lévy Process in Incomplete Observation

  AUTHORS: Waly Ngom

  KEYWORDS: Conditional Density, Default Time, Lévy Processes, Filtering Theory, Stochastic Voltera Equations

  JOURNAL NAME: Journal of Mathematical Finance, Vol.5 No.5, November 30, 2015

  ABSTRACT: We study the default risk in incomplete information. That means we model the value of a firm by a Lévy process which is the sum of a Brownian motion with drift and a compound Poisson process. This Lévy process cannot be completely observed, and another process represents the available information on the firm. We obtain a stochastic Volterra equation satisfied by the conditional density of the default time given the available information. The uniqueness of solution of this equation is proved. Numerical examples of (conditional) density are also given.