%0 Journal Article
%T $\natural$-model with jumps
%A Shiqi Song
%J Mathematics
%D 2013
%I arXiv
%X We consider the so-called $\natural$-model. It is an one-default model which gives the conditional law of a random time with respect to a reference filtration. This model has been studied in the case where the parameters are continuous. In this paper we will establish the $\natural$-model in the case of jump parameters. We then prove the corresponding enlargement of filtration formula and we compute the derivative of the conditional distribution functions of the random time.
%U http://arxiv.org/abs/1309.7635v1