We investigate a shot noise process with subexponential shot marks occurring at renewal epochs. Our main result is a …

We investigate a shot noise process with subexponential shot marks occurring at renewal epochs. Our main result is a …

Shot-noise processes generalize compound Poisson processes in the following way: a jump (the shot) is followed by a … or self-exciting processes exhibit similar features. We give a general account of shot-noise processes with time … with shot-noise processes. Besides this, we obtain some highly tractable examples and constitute a useful modeling tool for …

Shot-noise processes generalize compound Poisson processes in the following way: a jump (the shot) is followed by a … or self-exciting processes exhibit similar features. We give a general account of shot-noise processes with time … with shot-noise processes. Besides this, we obtain some highly tractable examples and constitute a useful modeling tool for …

described by n-th order linear differential equation driven by a stochastic or chaotic shot noise. From fitted forward rates we …

described by n-th order linear differential equation driven by a stochastic or chaotic shot noise. From fitted forward rates we …

We value CDS spreads and kth-to-default swap spreads in a tractable shot noise model. The default dependence is … is driven by a Poisson process. By using conditional independence and properties of the shot noise processes we derive …

fact that the intensity is allowed to jump producing shot-noise effects. In addition, we show how to price defaultable …