Pages that link to "Item:Q428526"
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The following pages link to Exponential utility maximization in an incomplete market with defaults (Q428526):
Displayed 24 items.
- Progressive enlargement of filtrations and backward stochastic differential equations with jumps (Q471510) (← links)
- BSDEs with polynomial growth generators in a defaultable market (Q488680) (← links)
- Dynamic robust duality in utility maximization (Q519879) (← links)
- Dynamic investment and counterparty risk (Q1705168) (← links)
- Existence and uniqueness results for BSDE with jumps: the whole nine yards (Q1722017) (← links)
- Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient (Q1731595) (← links)
- Optimal investment under multiple defaults risk: a BSDE-decomposition approach (Q1948694) (← links)
- A BSDE-based approach for the optimal reinsurance problem under partial information (Q2212153) (← links)
- Forward-backward stochastic differential games and stochastic control under model uncertainty (Q2247914) (← links)
- On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization (Q2289809) (← links)
- Information uncertainty related to marked random times and optimal investment (Q2296112) (← links)
- Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff (Q2514608) (← links)
- Optimal investment, consumption and proportional reinsurance under model uncertainty (Q2514622) (← links)
- A continuous-time model of self-protection (Q2697501) (← links)
- INFORMATION AND OPTIMAL INVESTMENT IN DEFAULTABLE ASSETS (Q2939921) (← links)
- Partially informed investors: hedging in an incomplete market with default (Q3449928) (← links)
- Indifference fee rate for variable annuities (Q4585679) (← links)
- Optimal investment and consumption under a continuous-time cointegration model with exponential utility (Q5234345) (← links)
- PORTFOLIO OPTIMIZATION IN A DEFAULT MODEL UNDER FULL/PARTIAL INFORMATION (Q5358060) (← links)
- RECURSIVE BACKWARD SCHEME FOR THE SOLUTION OF A BSDE WITH A NON LIPSCHITZ GENERATOR (Q5358112) (← links)
- Strict local martingales and optimal investment in a Black–Scholes model with a bubble (Q5743124) (← links)
- Optimal Investment-consumption for Partially Observed Jump-diffusions (Q5746531) (← links)
- Optimal reinsurance via BSDEs in a partially observable model with jump clusters (Q6130335) (← links)
- (Q6154368) (← links)