CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP (Q3067766): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP |
scientific article |
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CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP (English)
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13 January 2011
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backward stochastic differential equations (BSDE)
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defaultable contingent claims
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progressive enlargement of filtrations
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utility maximization
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credit risk premium
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