Beyond Hazard Rates: A New Framework for Credit-Risk Modelling

DOI10.1142/9789811246494_0001zbMath1489.91292OpenAlexW4225892193MaRDI QIDQ5072613

Dorje C. Brody, Andrea Macrina, Lane P. Hughston

Publication date: 29 April 2022

Published in: Financial Informatics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811246494_0001

zbMATH Keywords

credit riskincomplete informationcredit derivativesBayesian inferenceinformation-based asset pricingBrownian bridge processmarket filtration

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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