Pages that link to "Item:Q5711164"
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The following pages link to PDE approach to valuation and hedging of credit derivatives (Q5711164):
Displayed 9 items.
- Optimal investment and consumption with default risk: HARA utility (Q370878) (← links)
- Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities (Q538320) (← links)
- Valuation of portfolio credit derivatives with default intensities using the Vasicek model (Q633823) (← links)
- Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison (Q957529) (← links)
- Reflected BSDEs with random default time and related mixed optimal stopping-control problems (Q1945980) (← links)
- Pricing and trading credit default swaps in a hazard process model (Q2378639) (← links)
- CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (Q3393976) (← links)
- Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices (Q3424144) (← links)
- PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES (Q3503044) (← links)