Utility valuation of multi-name credit derivatives and application to CDOs
From MaRDI portal
Publication:5190134
DOI10.1080/14697680902744737zbMath1198.91214MaRDI QIDQ5190134
Ronnie Sircar, Thaleia Zariphopoulou
Publication date: 12 March 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680902744737
credit risk; default risk; control of stochastic systems; utility indifference; continuous time finance; pricing with utility based preferences; applied mathematical finance; pricing of derivatives securities
91B16: Utility theory
91G20: Derivative securities (option pricing, hedging, etc.)
91G40: Credit risk
Related Items
INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT, LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT, Impact of risk aversion and belief heterogeneity on trading of defaultable claims, Optimal investment with counterparty risk: a default-density model approach, Utility indifference valuation of corporate bond with rating migration risk, Accounting for risk aversion in derivatives purchase timing, Default clustering in large portfolios: typical events, A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk, ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
Cites Work
- Rational hedging and valuation of integrated risks under constant absolute risk aversion.
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
- Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
- Multiname and Multiscale Default Modeling
- European Option Pricing with Transaction Costs
- EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY
- PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
- Utility maximization in incomplete markets with random endowment
