This paper analyses the evolution through time of stock prices considering an extension of jump diffusion processes that incorporates Shot Noise effects. This extension follows the model recently proposed by Altmann et al (2004). The shot noise process introduces a new situation in which the...

This paper analyzes the Shot-Noise Jump-Diffusion model of Altmann, Schmidt and Stute (2008), which introduces a new situation where the effects of the arrival of rare, shocking information to the financial markets may fade away in the long run. We analyze several economic implications of the...

In the Koziol--Green proportional hazards model one assumes that the lifetime distribution F and the censoring distribution G satisfy 1 -- G = (1 -- F)[beta]. Let Fn denote the nonparametric MLE of F. We show that for any integrable function \gf, [integral operator]\gf dFn -- [integral...

In the current paper, we introduce a new calibration methodology for the LIBOR market model driven by LIBOR additive processes based in an inverse problem. This problem can be splitted in the calibration of the continuous and discontinuous part, linking each part of the problem with at-the-money...

A no-arbitrage framework to model interest rates with credit risk, based on the LIBOR additive process, and an approach to price corporate bonds in incomplete markets, is presented in this paper. We derive the no-arbitrage conditions under different conditions of recovery, and we obtain new...