Utility valuation of multi-name credit derivatives and application to CDOs

DOI10.1080/14697680902744737zbMath1198.91214MaRDI QIDQ5190134

Ronnie Sircar, Thaleia Zariphopoulou

Publication date: 12 March 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902744737

zbMATH Keywords

credit risk; default risk; control of stochastic systems; utility indifference; continuous time finance; pricing with utility based preferences; applied mathematical finance; pricing of derivatives securities

Mathematics Subject Classification ID

91B16: Utility theory

91G20: Derivative securities (option pricing, hedging, etc.)

91G40: Credit risk

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