We investigate the valuation and hedging of catastrophe options, whose claim arrival process is modeled by the Cox process or a doubly stochastic Poisson process. Employing the non-arbitrage principle we obtain closed form formula for the pricing of the option. Various hedging parameters are...

We introduce a notion of market times that are stochastic processes in order to represent information delay in structural credit risk models. The market times are extensions of the time change process introduced by Guo, Jarrow and Zeng in the sense that each component of the market time is not...