An enlargement of filtration formula with applications to multiple non-ordered default times
Monique Jeanblanc, Libo Li, Shiqi Song
| Year of publication: |
January 2018
|
|---|---|
| Authors: | Jeanblanc, Monique ; Li, Libo ; Song, Shiqi |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 22.2018, 1, p. 205-240
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| Subject: | Enlargement of filtration | Non-ordered default times | Reduced form credit risk modeling | Semimartingale decomposition | Kreditrisiko | Credit risk | EU-Mitgliedschaft | EU membership | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-017-0349-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011945652