CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP

DOI10.1142/S0219024910006133zbMath1204.91133arXiv0907.1221MaRDI QIDQ3067766

Anne Eyraud-Loisel, Christophette Blanchet-Scalliet, Stefan Ankirchner

Publication date: 13 January 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0907.1221

zbMATH Keywords

utility maximization; progressive enlargement of filtrations; credit risk premium; backward stochastic differential equations (BSDE); defaultable contingent claims

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91G40: Credit risk

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Cites Work

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• Utility maximization in incomplete markets
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• Backward Stochastic Differential Equations in Finance