Optimal investment with counterparty risk: a default-density model approach

DOI10.1007/s00780-010-0140-xzbMath1303.91159arXiv0903.0909OpenAlexW2102305813MaRDI QIDQ484210

Huyên Pham, Ying Jiao

Publication date: 18 December 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.0909

zbMATH Keywords

dynamic programmingdualitybackward stochastic differential equation (BSDE)optimal investmentcounterparty riskcontagious loss or gaindensity of default time

Mathematics Subject Classification ID

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Cites Work

• Pricing and hedging in the presence of extraneous risks
• Optimal investment decisions when time-horizon is uncertain
• What happens after a default: the conditional density approach
• Semi-martingales et grossissement d'une filtration
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Wealth-path dependent utility maximization in incomplete markets
• Progressive enlargement of filtrations with initial times
• CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
• Utility maximization in a jump market model
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Utility valuation of multi-name credit derivatives and application to CDOs

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