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math.PR2017
Closed-form formulas for the distribution of the jumps of doubly-stochastic Poisson processes
Arturo Valdivia
We study the obtainment of closed-form formulas for the distribution of the jumps of a doubly-stochastic Poisson process. The problem is approached in two ways. On the one hand, we…
math.PR2012★ 6 cited
Enlargements of filtrations and applications
J. M. Corcuera, A. Vadivia
In this paper we review some old and new results about the enlargement of filtrations problem, as well as their applications to credit risk and insider trading problems. The enlarg…