Hillairet, Caroline; Jiao, Ying - In: Finance and Stochastics 19 (2015) 1, pp. 109-134
counterparty. More precisely, the default time τ is modelled as the first time a stochastic process hits a random threshold L. The … insider knows this threshold (as it can be the case for the manager of the counterparty) and this information is modelled by … and a risky asset whose price is exposed to a sudden jump at the default time of the counterparty. All investors aim to …