Reduced-form setting under model uncertainty with non-linear affine intensities

DOI10.3934/puqr.2021008zbMath1490.91226OpenAlexW3204955167MaRDI QIDQ2671641

Francesca Biagini, Katharina Oberpriller

Publication date: 3 June 2022

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/puqr.2021008

zbMATH Keywords

sublinear expectationarbitrage-free pricingreduced-form frameworknonlinear affine processes

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Credit risk (91G40) Actuarial mathematics (91G05)

Related Items

Reduced-form framework for multiple ordered default times under model uncertainty, Generalized Feynman-Kac formula under volatility uncertainty

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