A Unified Framework for Pricing Credit and Equity Derivatives
Erhan BayraktarBo YangPublished in: CoRR (2007)
Keyphrases
- credit scoring
- higher order
- credit card
- credit risk
- convertible bonds
- dynamic pricing
- fraud detection
- neural network
- profit maximization
- directional derivatives
- risk analysis
- mechanism design
- stock market
- revenue management
- financial markets
- logistic regression
- multi agent
- partial derivatives
- distributional assumptions
- reinforcement learning
- multiscale
- quasi invariant
- database