Information-based approach: pricing of a credit risky asset in the presence of default time (Q6612339)
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scientific article; zbMATH DE number 7920277
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Information-based approach: pricing of a credit risky asset in the presence of default time |
scientific article; zbMATH DE number 7920277 |
Statements
Information-based approach: pricing of a credit risky asset in the presence of default time (English)
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30 September 2024
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Brownian random bridge
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semi-martingale
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local time
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compensator process
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information-based asset pricing
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credit risk
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default time
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totally inaccessible stopping time
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