Université Claude Bernard Lyon 1

We determine the hydrodynamic limit of some kinetic equations with either stochastic Vlasov force term or stochastic collision kernel. We obtain stochastic second-order parabolic equations at the limit. In the regime we consider, we also observe (or do not observe) some phenomena of enhanced diffusion. Joint works with Nils Caillerie, Arnaud Debussche, Martina Hofmanová.
 

Motivated by the European sovereign debt crisis, we propose a hybrid sovereign default model which combines an accessible part which takes into account the movement of the sovereign solvency and the impact of critical political events, and a totally inaccessible part for the idiosyncratic credit risk. We obtain closed-form formulas for the probability that the default occurs at political critical dates in a Markovian CEV process setting. Moreover, we introduce a generalized density framework for the hybrid default times and deduce the compensator process of default. Finally we apply the hybrid model and the generalized density to the valuation of sovereign bond and explain the significant jumps in the long-term government bond yield during the sovereign crisis.