Mean-Variance Hedging Under Multiple Defaults Risk (Q3194565): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 22:01, 3 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-Variance Hedging Under Multiple Defaults Risk |
scientific article |
Statements
Mean-Variance Hedging Under Multiple Defaults Risk (English)
0 references
20 October 2015
0 references
mean-variance hedging
0 references
quadratic backward stochastic differential equations
0 references
default-density modelling
0 references
dynamic programming
0 references
