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First Passage Time of Filtered Poisson Process with Exponential Shape Function

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Author Info
Alexander Novikov
R. E. Melchers
E. Shinjikashvili
N. Kordzakhia
Abstract

Solving some integro-differential equation we find the Laplace transformation of the first passage time for Filtered Poisson Process generated by pulses with uniform or exponential distributions. Also, the martingale technique is applied for approximations of expectations accuracy is veryfying with the help of Monte-Carlo simulations.

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Paper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 109.

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Date of creation: 01 Oct 2003
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Handle: RePEc:uts:rpaper:109

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Related research
Keywords: first passage times; laplace transformation; martingales; integro-differential equations; filtered poisson process; ornstein-uhlenbeck process;

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  1. Olivier Scaillet & Boris Leblanc, 1998. "Path dependent options on yields in the affine term structure model," Finance and Stochastics, Springer, vol. 2(4), pages 349-367. [Downloadable!] (restricted)
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