`Finem Lauda' or the risks in swaps
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Publication:751146
DOI10.1016/0167-6687(90)90008-2zbMath0714.62097MaRDI QIDQ751146
Freddy Delbaen, Philippe Artzner
Publication date: 1990
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(90)90008-2
optimal stopping; martingale; interest rate risk; premium; compensator; predictable process; swaptions; reserve; swap; interest rate swaps; credit insurance; description of risk; evaluation of risk; intensity process; level premiums; price of risk
62P05: Applications of statistics to actuarial sciences and financial mathematics
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