Stochastic Evolution Equations in Portfolio Credit Modelling
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Publication:5388678
DOI10.1137/100796777zbMath1254.91740arXiv1103.4947OpenAlexW2153906005MaRDI QIDQ5388678
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Publication date: 19 April 2012
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1103.4947
stochastic partial differential equationscredit riskempirical measurestructural modelscollateralized debt obligations
Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10) Credit risk (91G40)
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