Dynamic investment and counterparty risk (Q1705168): Difference between revisions

@@ Property / author @@
-Li Jun Bo
@@ Property / author: Li Jun Bo / rank @@
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@@ Property / author @@
+Li Jun Bo
@@ Property / author: Li Jun Bo / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00245-016-9364-2
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@@ Property / OpenAlex ID @@
+W2410709362
@@ Property / OpenAlex ID: W2410709362 / rank @@
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@@ Property / cites work @@
+Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
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@@ Property / cites work @@
+A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
@@ Property / cites work: A GENERAL FRAMEWORK FOR PRICING CREDIT RISK / rank @@
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@@ Property / cites work @@
+Pricing and trading credit default swaps in a hazard process model
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+An optimal portfolio problem in a defaultable market
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@@ Property / cites work @@
+OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK
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+ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
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+DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
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@@ Property / cites work @@
+PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
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@@ Property / cites work @@
+Q4183968
@@ Property / cites work: Q4183968 / rank @@
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@@ Property / cites work @@
+What happens after a default: the conditional density approach
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@@ Property / cites work @@
+Optimal investment under multiple defaults risk: a BSDE-decomposition approach
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@@ Property / cites work @@
+Exponential utility maximization in an incomplete market with defaults
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@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
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@@ Property / cites work @@
+Portfolio problems stopping at first hitting time with application to default risk
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@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank