<t>Thanks Jonathan. On a related note, I was trying to compare the approach followed by Giesecke in the incomplete information model vs the jump diffusion approach. The incomplete information models might be very close to the jump diffusion ones in terms that of the timing and magnitude of the rando...

<t>Hi, I am researching jump diffusion processes and their use in default risk. If the underlying asset value of a firm is modelled as a jump diffusion process, assuming a suitable (say, lognormal) distribution for the jump amplitude (Y), the call option price can be calculated using the merton meth...

<t>Hi, I am researching jump diffusion processes and their use in default risk. If the underlying asset value of a firm is modelled as a jump diffusion process, assuming a suitable (say, lognormal) distribution for the jump amplitude (Y), the call option price can be calculated using the merton meth...

David, can you give an idea of your background, experience etc. I am just trying to skrike a relation between responses and qualifications. Thanks