On correlated defaults and incomplete information (Q2031381)

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On correlated defaults and incomplete information
scientific article

    Statements

    title
    On correlated defaults and incomplete information (English)
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    author
    Wai-Ki Ching
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    Jia-Wen Gu
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    Harry Zheng
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    publication date
    9 June 2021
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    zbMATH Keywords
    correlated defaults
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    Brownian motions
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    incomplete information
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    intensity models
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    Identifiers

    DOI
    10.3934/jimo.2020003
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    Mathematics Subject Classification ID
    60J65
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    60J70
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    91G20
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    zbMATH DE Number
    7356912
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    OpenAlex ID
    W3124693793
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    arXiv ID
    1409.1393
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