CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP (Q3067766)
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scientific article; zbMATH DE number 5835760
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| English | CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP |
scientific article; zbMATH DE number 5835760 |
Statements
CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP (English)
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13 January 2011
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backward stochastic differential equations (BSDE)
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defaultable contingent claims
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progressive enlargement of filtrations
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utility maximization
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credit risk premium
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0.88659036
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0.87967163
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0.8796308
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0.87578416
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0.8728468
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0.8711913
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0.87010914
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0.8694451
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