OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK (Q2831003): Difference between revisions

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+A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
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+Portfolio optimization with a defaultable security
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+DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK
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+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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+Portfolio optimization in a defaultable market under incomplete information
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+DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
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+An Application of Stochastic Control Theory to Financial Economics
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+PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
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+Optimal investment with counterparty risk: a default-density model approach
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+Optimal investment under multiple defaults risk: a BSDE-decomposition approach
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+OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH
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+Portfolio problems stopping at first hitting time with application to default risk
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+How to invest optimally in corporate bonds: a reduced-form approach
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+Asset allocation with contagion and explicit bankruptcy procedures
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+An implicit function theorem: Comment
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+Optimal investment in a defaultable bond
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+Optimum consumption and portfolio rules in a continuous-time model
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+CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
@@ Property / cites work: CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS / rank @@
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