Abstract We design a discrete time arbitrage-free model under incomplete information for application to credit risk models in the spirit of Duffie and Lando (2001). We assume a fundamental value process evolving according to a complete market model and a sequence of imperfect signals conveying...

In this paper we suggest a new technique to construct Markov processes by means of products of copula functions, in the spirit of Darsow et al, (1992). The approach requires to define: i) a sequence of distribution functions of the increments of the process; ii) a sequence of copula functions...

We propose a general treatment of random variables aggregation accounting for the dependence among variables and bounded or unbounded support of their sum. The approach is based on the extension to the concept of convolution to dependent variables, involving copula functions. We show that some...

This paper suggests a new technique to construct first order Markov processes using products of copula functions, in the spirit of Darsow et al. (1992) [10]. The approach requires the definition of (i) a sequence of distribution functions of the increments of the process, and (ii) a...