On the compensator of the default process in an information-based model

Matteo Ludovico Bedini; Rainer Buckdahn; Hans-Jürgen Engelbert

doi:10.1186/s41546-017-0017-4

Article Contents

2017, Volume 2: 10. Doi: 10.1186/s41546-017-0017-4

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On the compensator of the default process in an information-based model

1 Numerix, Milano, Italy;
2 Université de Bretagne Occidentale, Brest, France;
3 School of Mathematics, Shandong University, Jinan, Shandong Province, People's Republic of China;
4 Friedrich-Schiller-Universität, Fakultät fär Mathematik und Informatik, Institut fär Stochastik, Jena, Germany

Matteo Ludovico Bedini, mbedini@numerix.com

Received: November 18, 2016

Revised: April 18, 2017

Published: September 2020

supported by the European Community's FP 7 Program under contract PITN-GA-2008-213841, and Marie Curie ITN 《 Controlled Systems 》.

Abstract / Introduction Related Papers Cited by

Abstract

This paper provides sufficient conditions for the time of bankruptcy (of a company or a state) for being a totally inaccessible stopping time and provides the explicit computation of its compensator in a framework where the flow of market information on the default is modelled explicitly with a Brownian bridge between 0 and 0 on a random time interval.

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References

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