Credit derivatives and risk aversion
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Publication:3572021
DOI10.1016/S0731-9053(08)22011-6zbMath1189.91209MaRDI QIDQ3572021
Tim Leung, Ronnie Sircar, Thaleia Zariphopoulou
Publication date: 30 June 2010
Published in: Econometrics and Risk Management (Search for Journal in Brave)
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
Related Items (7)
Impact of risk aversion and belief heterogeneity on trading of defaultable claims ⋮ Pricing contingent convertibles with idiosyncratic risk ⋮ Accounting for risk aversion in derivatives purchase timing ⋮ INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT ⋮ A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk ⋮ A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets ⋮ Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
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