|
|
Non-stopping times, changes of measures and applications to default modelling
|
When
|
5.15pm on Thursday 4th December 2008
|
|
Where
|
B617, Leverhulme Library, Columbia House
|
|
Presentations
|
|
|
Speaker
|
Ashkan Nikeghbali
|
|
From
|
University of Zurich
|
|
Abstract
|
In this talk, we give a classification of random times with the modelling of default times in view. We present a natural extension of the immersion property which is the classical framework in some credit risk models. We also study how these properties are modified under an equivalent change of probability measure.
|
|
For further information
|
Sabina Allam (Postgraduate Administrator) Ext. 6879
Department of Statistics, Columbia House
|
|
|