Reduced-form framework under model uncertainty
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Publication:2330468
DOI10.1214/18-AAP1458zbMath1426.91286arXiv1707.04475OpenAlexW2963149732WikidataQ127445106 ScholiaQ127445106MaRDI QIDQ2330468
Francesca Biagini, Yinglin Zhang
Publication date: 22 October 2019
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1707.04475
Related Items (4)
Term structure modeling under volatility uncertainty ⋮ Reduced-form setting under model uncertainty with non-linear affine intensities ⋮ Reduced-form framework for multiple ordered default times under model uncertainty ⋮ Robust Framework for Quantifying the Value of Information in Pricing and Hedging
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