Optimal investment with counterparty risk: a default-density model approach (Q484210): Difference between revisions
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Revision as of 05:59, 30 January 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment with counterparty risk: a default-density model approach |
scientific article |
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Optimal investment with counterparty risk: a default-density model approach (English)
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18 December 2014
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counterparty risk
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contagious loss or gain
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density of default time
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optimal investment
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duality
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dynamic programming
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backward stochastic differential equation (BSDE)
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