Optimal investment with counterparty risk: a default-density model approach

DOI10.1007/s00780-010-0140-xzbMath1303.91159arXiv0903.0909OpenAlexW2102305813MaRDI QIDQ484210

Huyên Pham, Ying Jiao

Publication date: 18 December 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.0909

zbMATH Keywords

dynamic programmingdualitybackward stochastic differential equation (BSDE)optimal investmentcounterparty riskcontagious loss or gaindensity of default time

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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Cites Work

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