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  • Search: subject:"Infinitesimal martingale representations"
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Year of publication
Subject
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Credit risk modelling 2 Infinitesimal martingale representations 2 Information restrictions 2 Life insurance modelling 2 Optional projections 2 Credit risk 1 Kreditrisiko 1 Lebensversicherung 1 Life insurance 1 Option pricing theory 1 Optionspreistheorie 1 Risikomodell 1 Risk model 1
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Free 2
Type of publication
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Article 2
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Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
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English 2
Author
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Christiansen, Marcus C. 2
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Finance and Stochastics 1 Finance and stochastics 1
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ECONIS (ZBW) 1 EconStor 1
Showing 1 - 2 of 2
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Time-dynamic evaluations under non-monotone information generated by marked point processes
Christiansen, Marcus C. - In: Finance and Stochastics 25 (2021) 3, pp. 563-596
The information dynamics in finance and insurance applications is usually modelled by a filtration. This paper looks at situations where information restrictions apply so that the information dynamics may become non-monotone. A fundamental tool for calculating and managing risks in finance and...
Persistent link: https://www.econbiz.de/10014497597
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Cover Image
Time-dynamic evaluations under non-monotone information generated by marked point processes
Christiansen, Marcus C. - In: Finance and stochastics 25 (2021) 3, pp. 563-596
Persistent link: https://www.econbiz.de/10012585987
Saved in:
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