Affine models with path-dependence under parameter uncertainty and their application in finance

DOI10.1142/s021902492450016xMaRDI QIDQ6633872

Thorsten Schmidt, Katharina Oberpriller, Benedikt Geuchen

Publication date: 6 November 2024

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

credit riskKolmogorov equationsCox-Ingersoll-Ross modelfunctional Itô calculusKnightian uncertaintystructural modelsaffine processesfully nonlinear PDEMerton modeldeep-learningVašíček modelnonlinear affine process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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