14 citations · 31 across the 5 of their papers we have counts for
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math.PR2009★ 14 cited
First passage time law for some jump-diffusion processes : existence of a density
Laure Coutin, Diana Dorobantu
Let (Xt, t >= 0) be a diffusion process with jumps, sum of a Brownian motion with drift and a compound Poisson process. We consider T_x the first hitting time of a fixed level x >…
q-fin.RM2009★ 12 cited
An extension of Davis and Lo's contagion model
Didier Rullière, Diana Dorobantu, Areski Cousin
The present paper provides a multi-period contagion model in the credit risk field. Our model is an extension of Davis and Lo's infectious default model. We consider an economy of…