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 22 items.
- Optimal investment and consumption with default risk: HARA utility (Q370878) (← links)
- BSDEs with polynomial growth generators in a defaultable market (Q488680) (← 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)
- Funding, repo and credit inclusive valuation as modified option pricing (Q1728382) (← links)
- Reflected BSDEs with random default time and related mixed optimal stopping-control problems (Q1945980) (← links)
- Analytical valuation of vulnerable European and Asian options in intensity-based models (Q2020536) (← links)
- American options in nonlinear markets (Q2042845) (← links)
- On a convergent power series method to price defaultable bonds in a Vašíček-CIR model (Q2113272) (← links)
- CVA and vulnerable options pricing by correlation expansions (Q2241073) (← links)
- Pricing and trading credit default swaps in a hazard process model (Q2378639) (← links)
- INFORMATION AND OPTIMAL INVESTMENT IN DEFAULTABLE ASSETS (Q2939921) (← 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)
- From insurance risk to credit portfolio management: a new approach to pricing CDOs (Q4554223) (← links)
- American options in an imperfect complete market with default (Q4615505) (← links)
- Quantile hedging in a defaultable market with life insurance applications (Q4990512) (← links)
- NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS (Q5376999) (← links)
- MULTI-CURRENCY CREDIT DEFAULT SWAPS (Q5384682) (← links)
- Notes on backward stochastic differential equations for computing XVA (Q6130854) (← links)