Dynamic credit investment in partially observed markets (Q889624): 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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+Credit risk: Modelling, valuation and hedging
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+OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK
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+An optimal portfolio problem in a defaultable market
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+DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
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+TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING
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+The obstacle problem for a class of hypoelliptic ultraparabolic equations
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+What happens after a default: the conditional density approach
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+An HMM approach for optimal investment of an insurer
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+Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
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+Q3015768
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+Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
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+Q5520962
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+Expected log-utility maximization under incomplete information and with Cox-process observations
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+Expected power-utility maximization under incomplete information and with Cox-process observations
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+Optimal investment under multiple defaults risk: a BSDE-decomposition approach
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+Optimal investment with counterparty risk: a default-density model approach
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+Progressive enlargement of filtrations and backward stochastic differential equations with jumps
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+On the unnormalized solution of the filtering problem with counting process observations
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+Portfolio problems stopping at first hitting time with application to default risk
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+Asset allocation with contagion and explicit bankruptcy procedures
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+How to invest optimally in corporate bonds: a reduced-form approach
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+Markov chain Monte Carlo methods for switching diffusion models
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+PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
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+Q3509355
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+PDE and martingale methods in option pricing.
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+Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
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+No Arbitrage and General Semimartingales
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+Q3763296
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+Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
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+A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching
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+EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
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+Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
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