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...

The market for tranched credit products (CDOs, Itraxx tranches) is one of the fastest growing segments in the credit derivatives industry. However, some assumptions underlying the standard Gaussian onefactor pricing model (homogeneity, single factor, Normality), which is the pricing standard...