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Processus à sauts et risque de défaut

Abstract : This thesis contains two parts : The first one deals with a complete market driven by a jump diffusion process. The second one is devoted to the modelling of default risk. We investigate the links between the default process' information and the defaultfree informatrion, called the F filtration. We establish a representation theorem for some martingale in the enlarged filtration.
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Contributor : Christophette Blanchet-Scalliet Connect in order to contact the contributor
Submitted on : Tuesday, November 27, 2007 - 10:37:57 AM
Last modification on : Monday, June 28, 2021 - 2:26:03 PM
Long-term archiving on: : Monday, April 12, 2010 - 5:14:32 AM


  • HAL Id : tel-00192209, version 1


Christophette Blanchet-Scalliet. Processus à sauts et risque de défaut. Mathématiques [math]. Université d'Evry-Val d'Essonne, 2001. Français. ⟨tel-00192209⟩



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