Utility valuation of multi-name credit derivatives and application to CDOs
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Publication:5190134
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
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
91B16: Utility theory
91G20: Derivative securities (option pricing, hedging, etc.)
91G40: Credit risk
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