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Publications
Worst case model risk management
Home
Publications
Worst case model risk management
Worst case model risk management
Authors:
DT
Denis Talay
Denis Talay
ZZ
Ziyu Zheng
Ziyu Zheng
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1 October 2002
journal article
research article
Published by
Springer Nature
in
Finance and Stochastics
Vol. 6
(4)
,
517-537
DOI:
10.1007/s007800200074
Abstract
No abstract available
Keywords
KEY WORDS: MODEL RISK
STOCHASTIC DIFFERENTIAL GAME
HAMILTON-JACOBI-BELLMAN-ISAACS EQUATION
JEL CLASSIFICATION: G11
MATHEMATICS SUBJECT CLASSIFICATION (1991): 90A09
60H30
93E05
Cited
Cited by 78 articles
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