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Anagnostou, Ioannis
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Risk factor evolution for counterparty credit risk under a hidden Markov model
Anagnostou, Ioannis
;
Kandhai, Drona
- In:
Risks
7
(
2019
)
2
,
pp. 1-22
.
Geometric
Brownian
Motion
(GBM) is a widely used method for modeling the evolution of exchange rates. An important limitation of …
Persistent link: https://www.econbiz.de/10013200484
Saved in:
2
Risk factor evolution for counterparty credit risk under a hidden Markov model
Anagnostou, Ioannis
;
Kandhai, Drona
- In:
Risks : open access journal
7
(
2019
)
2/66
,
pp. 1-22
.
Geometric
Brownian
Motion
(GBM) is a widely used method for modeling the evolution of exchange rates. An important limitation of …
Persistent link: https://www.econbiz.de/10012018919
Saved in:
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