INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
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Publication:4906540
DOI10.1111/J.1467-9965.2010.00457.XzbMATH Open1278.91176OpenAlexW1832762784MaRDI QIDQ4906540FDOQ4906540
Authors: Sebastian Jaimungal, Georg Sigloch 
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00457.x
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Cites Work
- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
- Term Structures of Credit Spreads with Incomplete Accounting Information
- European Option Pricing with Transaction Costs
- Stochastic Volatility Effects on Defaultable Bonds
- Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- Credit derivatives and risk aversion
- Utility valuation of multi-name credit derivatives and application to CDOs
- Default and information
- Real options with constant relative risk aversion
- A minimality property of the minimal martingale measure
- PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
- Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
- PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER
Cited In (18)
- Adaptive Robust Control in Continuous Time
- MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH
- Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
- Recent advancements in robust optimization for investment management
- Option implied ambiguity and its information content: evidence from the subprime crisis
- Algorithmic Trading with Model Uncertainty
- Pricing airbag option via first passage time approach
- Credit derivatives and risk aversion
- Indifference pricing and hedging in a multiple-priors model with trading constraints
- Bond indifference prices
- Robust Optimization of Credit Portfolios
- Forward indifference valuation of American options
- Impact of risk aversion and belief heterogeneity on trading of defaultable claims
- A multidimensional exponential utility indifference pricing model with applications to counterparty risk
- REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE
- IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION
- Accounting for risk aversion in derivatives purchase timing
- Model Uncertainty in Commodity Markets
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