Showing 2026Show all
2 papers · 1 filter
q-fin.MF2026
Exact calibration of structural models via time-change
Frédéric Vrins, Damiano Brigo
In this note, we propose a general structural approach to model a default time as the first-passage time (FPT) of a (``firm-value'') process below a (``debt'') barrier …
math.PR2026
On the boundaries, asymptotic law and Bernoulli-Doob representation of homogeneous bounded martingales
Damiano Brigo, Frédéric Vrins
We study homogeneous diffusion martingales evolving in a bounded state space , where and are zeros of the diffusion coefficient. We call a process of the form $Z_t…