Alternative to beta coefficients in the context of diffusions
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Publication:4555078
DOI10.1080/14697688.2016.1188214zbMath1402.91976OpenAlexW2412249148MaRDI QIDQ4555078
Guillaume Bernis, Simone Scotti
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2016.1188214
risk managementJacobi processesWiener chaos decompositionbeta coefficientCAPM theorycredit assets allocation
Related Items (2)
The Jacobi stochastic volatility model ⋮ Estimating the counterparty risk exposure by using the Brownian motion local time
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