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math.PR2012
On absolutely continuous compensators and nonlinear filtering equations in default risk models
Umut Çetin
We discuss the pricing of defaultable assets in an incomplete information model where the default time is given by a first hitting time of an unobservable process. We show that in…
math.PR2012
Point process bridges and weak convergence of insider trading models
Umut Çetin, Hao Xing
We construct explicitly a bridge process whose distribution, in its own filtration, is the same as the difference of two independent Poisson processes with the same intensity and i…