Event risk, contingent claims and the temporal resolution of uncertainty
From MaRDI portal
Publication:2257042
DOI10.1007/s11579-013-0107-8zbMath1306.91135MaRDI QIDQ2257042
Julien Hugonnier, Pierre Collin Dufresne
Publication date: 23 February 2015
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://infoscience.epfl.ch/record/207518/files/11579_2013_Article_107.pdf
certainty equivalent; incomplete markets; credit risk; event risk; temporal resolution of uncertainty; utility based valuation
91G60: Numerical methods (including Monte Carlo methods)
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
91G40: Credit risk
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