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

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