Hedging and utility valuation of a defaultable claim driven by Hawkes processes (Q6580708)
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scientific article; zbMATH DE number 7888920
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| English | Hedging and utility valuation of a defaultable claim driven by Hawkes processes |
scientific article; zbMATH DE number 7888920 |
Statements
Hedging and utility valuation of a defaultable claim driven by Hawkes processes (English)
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29 July 2024
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backward stochastic differential equations
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default time
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exponential utility
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Hawkes processes
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optimal investment
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