Dynamic investment and counterparty risk

DOI10.1007/s00245-016-9364-2zbMath1395.91477MaRDI QIDQ1705168

Agostino Capponi, Li Jun Bo

Publication date: 14 March 2018

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-016-9364-2

zbMATH Keywords

dynamic programming; counterparty risk; credit default swaps

Mathematics Subject Classification ID

60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)

91G40: Credit risk