communication: Brownian Bridges on Random Intervals
speaker: Matteo Ludovico Bedinispeaker: Rainer Buckdahn (Université de Bretagne Occidentale (Brest), Laboratoire de Mathématiques CNRS-UMR 6205)
speaker: Hans-Jürgen Engelbert (Institut for Stochastics, University of Jena)
abstract: The issue of giving an explicit description of the flow of information concerning the time of bankruptcy of a company (or a state) arriving on the market is tackled by defining a bridge process starting from zero and conditioned to be equal to zero when the default occurs. This enables to catch some empirical facts on the behavior of financial markets: When the bridge process is away from zero, investors can be relatively sure that the default will not happen immediately. However, when the information process is close to zero, market agents should be aware of the risk of an imminent default. In this sense the bridge process leaks information concerning the default before it occurs. The objective of this first paper on Brownian bridges on stochastic intervals is to provide the basic properties of these processes.
timetable:
Fri 29 Jan, 11:00 - 13:00, Sala Azzurra
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