Stochastic evolution equations in portfolio credit modelling with applications to exotic credit products
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- L.C.G. Rogers, 2001. "The relaxed investor and parameter uncertainty," Finance and Stochastics, Springer, vol. 5(2), pages 131-154.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-02 (All new papers)
- NEP-CMP-2011-04-02 (Computational Economics)
- NEP-RMG-2011-04-02 (Risk Management)
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