It is well-known from the work of Sch ̈onbucher (2005) that the marginal laws of a loss process can be matched by a unit increasing time inhomogeneous Markov process, whose deterministic jump intensity is called local intensity. The Stochastic Local Intensity (SLI) models such as the one...

In the Black-Cox model, a firm defaults when its value hits an exponential barrier. Here, we propose an hybrid model that generalizes this framework. The default intensity can take two different values and switches when the firm value crosses a barrier. Of course, the intensity level is higher...

It is well-known from the work of Sch ̈onbucher (2005) that the marginal laws of a loss process can be matched by a unit increasing time inhomogeneous Markov process, whose deterministic jump intensity is called local intensity. The Stochastic Local Intensity (SLI) models such as the one...

In this paper, we are interested in the almost sure convergence of randomly truncated stochastic algorithms. In their pioneering work Chen and Zhu [Chen, H., Zhu, Y., 1986. Stochastic Approximation Procedure with Randomly Varying Truncations. In: Scientia Sinica Series.] required that the family...

Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian driven diffusions. In this work, we want to extend them to jump processes. Our approach relies on a change of the jump intensity combined with the standard exponential tilting for the Brownian motion....

The value of an American option is the maximized value of the discounted cash flows from theoption. At each time step, one needs to compare the immediate exercise value with the continuation value and decide to exercise as soon as the exercise value is strictly greater than the continuation...