Alfonsi, Aurélien; Labart, Céline; Lelong, Jérôme - HAL - 2014
It is well-known from the work of Sch ̈onbucher (2005) that the marginal laws of a loss process can be matched by a unit increasing time inhomogeneous Markov process, whose deterministic jump intensity is called local intensity. The Stochastic Local Intensity (SLI) models such as the one...
