Optimal investment with counterparty risk: a default-density model approach (Q484210): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H30 / rank | |||
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| Property / Mathematics Subject Classification ID: 60J75 / rank | |||
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| Property / Mathematics Subject Classification ID: 93E20 / rank | |||
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| Property / zbMATH DE Number: 6381570 / rank | |||
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| Property / zbMATH Keywords | |||
counterparty risk | |||
| Property / zbMATH Keywords: counterparty risk / rank | |||
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contagious loss or gain | |||
| Property / zbMATH Keywords: contagious loss or gain / rank | |||
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density of default time | |||
| Property / zbMATH Keywords: density of default time / rank | |||
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optimal investment | |||
| Property / zbMATH Keywords: optimal investment / rank | |||
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duality | |||
| Property / zbMATH Keywords: duality / rank | |||
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dynamic programming | |||
| Property / zbMATH Keywords: dynamic programming / rank | |||
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backward stochastic differential equation (BSDE) | |||
| Property / zbMATH Keywords: backward stochastic differential equation (BSDE) / rank | |||
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Revision as of 21:05, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment with counterparty risk: a default-density model approach |
scientific article |
Statements
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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