authors
- SALMERON GARRIDO, JOSE ANTONIO
- NUNNO, GIULIA DI
- D AURIA, BERNARDO
Before and after default: information and optimal portfolio via anticipating calculus
Working Papers
Overview
publisher
publication date
- 2022
series title
- Working paper Statistics and Econometrics
series number
- 22-05
Classification
subjects
- Statistics
keywords
- optimal portfolio; default risk; progressive enlargement; forward integrals; malliavin calculus