Mean-variance hedging under multiple defaults risk (Q3194565)
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scientific article; zbMATH DE number 6496694
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Mean-variance hedging under multiple defaults risk |
scientific article; zbMATH DE number 6496694 |
Statements
Mean-Variance Hedging Under Multiple Defaults Risk (English)
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20 October 2015
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mean-variance hedging
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quadratic backward stochastic differential equations
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default-density modelling
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dynamic programming
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0.828839123249054
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0.8219115734100342
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0.8146358132362366
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0.7852245569229126
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