Event risk, contingent claims and the temporal resolution of uncertainty

DOI10.1007/s11579-013-0107-8zbMath1306.91135OpenAlexW2151376067MaRDI QIDQ2257042

Julien Hugonnier, Pierre Collin Dufresne

Publication date: 23 February 2015

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

Full work available at URL: https://infoscience.epfl.ch/record/207518/files/11579_2013_Article_107.pdf

zbMATH Keywords

certainty equivalentincomplete marketscredit riskevent risktemporal resolution of uncertaintyutility based valuation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items

VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS ⋮ A MERTON-MODEL APPROACH TO ASSESSING THE DEFAULT RISK OF UK PUBLIC COMPANIES ⋮ Dynamic asset pricing theory with uncertain time-horizon ⋮ AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• On Cox processes and credit risky securities
• Pricing and hedging in the presence of extraneous risks
• Optimization of consumption with labor income
• Hedging contingent claims with constrained portfolios
• The writing price of a European contingent claim under proportional transaction costs
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
• On the pricing of contingent claims under constraints
• Utility based optimal hedging in incomplete markets.
• Optimal investment with random endowments in incomplete markets.
• There is no nontrivial hedging portfolio for option pricing with transaction costs
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Indifference pricing for CRRA utilities
• Pricing Via Utility Maximization and Entropy
• Existence for BSDE with superlinear–quadratic coefficient
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• Exponential Hedging and Entropic Penalties
• European Option Pricing with Transaction Costs
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
• Utility maximization in incomplete markets with random endowment