Utility valuation of multi-name credit derivatives and application to CDOs (Q5190134): Difference between revisions

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+DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
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+Normal rank
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+Rational hedging and valuation of integrated risks under constant absolute risk aversion.
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+Utility maximization in incomplete markets with random endowment
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+European Option Pricing with Transaction Costs
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+EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY
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+Multiname and Multiscale Default Modeling
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
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+Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
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