LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS
نویسندگان
چکیده
منابع مشابه
Optional Defaultable Markets
The paper deals with defaultable markets, one of the main research areas of mathematical finance. It proposes a new approach to the theory of such markets using techniques from the calculus of optional stochastic processes on unusual probability spaces, which was not presented before. The paper is a foundation paper and contains a number of fundamental results on modeling of defaultable markets...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2009
ISSN: 0960-1627,1467-9965
DOI: 10.1111/j.1467-9965.2009.00384.x