Utility indifference valuation of corporate bond with rating migration risk (Q889421): Difference between revisions

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+Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
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+Q5642661
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+European Option Pricing with Transaction Costs
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+On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
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+Q3613975
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+On Cox processes and credit risky securities
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+Portfolio optimization with unobservable Markov-modulated drift process
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+Q5506194
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+Utility valuation of multi-name credit derivatives and application to CDOs
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+EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
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