Optimal investment with counterparty risk: a default-density model approach
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Publication:484210
DOI10.1007/s00780-010-0140-xzbMath1303.91159arXiv0903.0909MaRDI QIDQ484210
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
dynamic programming; duality; backward stochastic differential equation (BSDE); optimal investment; counterparty risk; contagious loss or gain; density of default time
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
91G10: Portfolio theory
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Cites Work
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