Linear credit risk models
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Publication:2282965
DOI10.1007/s00780-019-00409-zzbMath1445.91066arXiv1605.07419OpenAlexW3125565317MaRDI QIDQ2282965
Damir Filipović, Damien Ackerer
Publication date: 27 December 2019
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1605.07419
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Estimation in survival analysis and censored data (62N02) Credit risk (91G40)
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Uses Software
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