CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS
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Publication:5114679
DOI10.1142/S0219024920500107zbMath1444.91217OpenAlexW2999573429MaRDI QIDQ5114679
Pavel V. Gapeev, Monique Jeanblanc-Picqué
Publication date: 25 June 2020
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024920500107
geometric Brownian motioncounterparty riskcredit default swapsinitial and progressive enlargements of filtrationsdefault times
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Cites Work
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