Optimal investment in a defaultable bond

DOI10.1007/S11579-008-0011-9zbMath1142.91537OpenAlexW1969476490MaRDI QIDQ941018

Weijian Liang, Peter Lakner

Publication date: 4 September 2008

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-008-0011-9

zbMATH Keywords

utility maximizationdefault riskoptimal investmentcorporate bond

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (10)

The European vulnerable option pricing with jumps based on a mixed model ⋮ Optimal investment and consumption with default risk: HARA utility ⋮ Non-zero-sum stochastic differential reinsurance and investment games with default risk ⋮ Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market ⋮ Optimal portfolio and consumption selection with default risk ⋮ DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING ⋮ Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security ⋮ Pricing vulnerable option under jump-diffusion model with incomplete information ⋮ Optimal reinsurance and investment problem with default risk and bounded memory ⋮ OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK

Cites Work

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• The Pricing of Options and Corporate Liabilities
• On Cox processes and credit risky securities
• Pricing the risks of default
• Modeling credit risk with partial information.
• Credit Risk Models with Incomplete Information
• Term Structures of Credit Spreads with Incomplete Accounting Information

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