[grads] [Sem-coll] AM Finance/Stoch&Comp Seminar: Wednesday, March 28 Monique Jeanblanc

[George Skontos]

Please join us for the following seminar. Coffee and snacks will be 
served 5-10 minutes prior.  

Monday, Mar 28, 4:40pm E1 242

Speaker: Monique Jeanblanc (Universiti d'Evry Val d'Essonne - France)
Title: Old results and new tools for credit risk: A dynamic copula approach

Abstract:
In that paper, using the existence of a regular conditional density, we
establish resultson the computation of prices for credit derivatives, in
the case of single or several defaults. We work with two filtrations,
the reference one, say Ft, and the enlarged one, Ft v sigma(tau ^ t). We
also prove a result on decomposition of Ft martingales as Ft v sigma(tau
^ t) semimartinges in the case where the time tau is not honest.

Due to abstract containing LaTeX symbols, not all the symbology
transfered over. Thus attached is the pdf version of the abstract for
those who are interested.  
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