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Paper / 2008SMQ / 54772177090218
Intensity process and compensator: A new filtration expansion approach and the Jeulin–Yor theorem
Xin Guo / Yan Zeng
stochastic calculus / stochastic processesResource overview

Intensity process and compensator: A new filtration expansion approach and the Jeulin–Yor theorem

Paper2008

by Xin Guo, Yan Zeng

Tags
stochastic calculusstochastic processes

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Suggested foundations for stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. Conditional Expectation

    Understand what it means to condition on current information.

  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

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  1. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

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