Affine models with path-dependence under parameter uncertainty and their application in finance (Q6633872)
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scientific article; zbMATH DE number 7939743
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Affine models with path-dependence under parameter uncertainty and their application in finance |
scientific article; zbMATH DE number 7939743 |
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Affine models with path-dependence under parameter uncertainty and their application in finance (English)
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6 November 2024
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affine processes
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Knightian uncertainty
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Vašíček model
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Cox-Ingersoll-Ross model
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nonlinear affine process
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Kolmogorov equations
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fully nonlinear PDE
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functional Itô calculus
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deep-learning
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Merton model
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structural models
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credit risk
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