3 papers
math.PR2016
Unexpected Default in an Information Based Model
Matteo Ludovico Bedini, Rainer Buckdahn, Hans-Jürgen Engelbert
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…
math.PR2016
Credit default prediction and parabolic potential theory
Matteo L. Bedini, Michael Hinz
We consider an approach to credit risk in which the information about the time of bankruptcy is modelled using a Brownian bridge that starts at zero and is conditioned to equal zer…
math.PR2016
Brownian Bridges on Random Intervals
Matteo Ludovico Bedini, Rainer Buckdahn, Hans-Jürgen Engelbert
The issue of giving an explicit description of the flow of information concerning the time of bankruptcy of a company (or a state) arriving on the market is tackled by defining a b…