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- W1499376658 abstract "We study the default risk in incomplete information. That means, we model the value of a firm by one L'evy process which is the sum of brownian motion with drift and compound Poisson process. This L'evy process can not be observed completely and we let an other process which representes the available information on the firm. We obtain an equation safisfied by the conditional density of the default time given the available information and closed form expression for the density." @default.
- W1499376658 created "2016-06-24" @default.
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- W1499376658 date "2014-02-09" @default.
- W1499376658 modified "2023-09-27" @default.
- W1499376658 title "First passage time law for some Lévy processes with compound Poisson: Existence of a conditional density with incomplete observation" @default.
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