We study a model of a financial market in which the dividend rates of two risky assets change their initial values to other constant ones at the times at which certain unobservable external events occur. The asset price dynamics are described by geometric Brownian motions with random drift rates...

We study a model of a financial market in which two risky assets are paying dividends with rates changing their initial values to other constant ones when certain events occur. Such events are associated with the first times at which the value processes of issuing firms, modeled by geometric...

We control a diffusion process with constant coefficients in order to keep this process in a given band with impulse control methods. We prove that there exists an optimal control if the cost associated with each control is a fixed cost plus a proportional cost. We study the problem of the...

We present the solution of a portfolio optimization problem for an economic agent endowed with a stochastic insurable stream, under a liquidity constraint over the time interval [0,T]. Generally, the existence of labor income complicates the agent's decisions. Moreover, in the real world the...

In order to dynamize the static Gaussian copula model of portfolio credit risk, we introduce a model filtration made of a reference Brownian filtration progressively enlarged by the default times. This yields a multidimensional density model of default times, where, as opposed to the classical...

A Markov model is constructed for studying the counterparty risk in a CDS contract. The "wrong-way risk" in this model is accounted for by the possibility of the common default of the reference name and of the counterparty. A dynamic copula property as well as affine model specifications make...

We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset's filtration, and the intensity of the default time. We...

Wolfe (Stochastic Process. Appl. 12(3) (1982) 301) and Sato (Probab. Theory Related Fields 89(3) (1991) 285) gave two different representations of a random variable X1 with a self-decomposable distribution in terms of processes with independent increments. This paper shows how either of these...

An incomplete market driven by a pair of Wiener and Poisson processes is considered. The range of European and American claim prices is determined.

In this article the problem of the American option valuation in a Levy process setting is analysed. The perpetual case is first considered. Without possible discontinuities (i.e. with negative jumps in the call case), known results concerning the currency option value as well as the exercise...