Utility valuation of multi-name credit derivatives and application to CDOs (Q5190134)
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scientific article; zbMATH DE number 5681142
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Utility valuation of multi-name credit derivatives and application to CDOs |
scientific article; zbMATH DE number 5681142 |
Statements
Utility valuation of multi-name credit derivatives and application to CDOs (English)
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12 March 2010
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credit risk
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default risk
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applied mathematical finance
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utility indifference
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continuous time finance
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pricing with utility based preferences
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pricing of derivatives securities
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control of stochastic systems
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