Reduced-form setting under model uncertainty with non-linear affine intensities
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Cited in
(7)- Affine processes under parameter uncertainty
- Reduced-form framework under model uncertainty
- Reduced-form framework for multiple ordered default times under model uncertainty
- Generalized Feynman-Kac formula under volatility uncertainty
- Pricing interest rate derivatives under volatility uncertainty
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- Affine models with path-dependence under parameter uncertainty and their application in finance
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