CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
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Publication:3067766
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
utility maximization; progressive enlargement of filtrations; credit risk premium; backward stochastic differential equations (BSDE); defaultable contingent claims
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91G40: Credit risk
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