Using Utility Functions to Model Risky Bonds

DOI10.1080/13504860600951652MaRDI QIDQ5310698zbMATH OpenOpenAlexFDO

Authors Joanna Goard

Publication date 11 October 2007

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860600951652

zbMATH Keywords

utility functionsdefaultable bondsrisky bonds

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Comparison of the performance of a time‐dependent short‐interest rate model with time‐independent models
• Derivative pricing based on local utility maximization
• New solutions to the bond-pricing equation via Lie's classical method
• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• Pricing interest-rate-derivative securities
• Products of trees for investment analysis
• Symmetries and differential equations
• The pricing of options and corporate liabilities

Cited in

(1)

• A NOTE ON RISKY BOND VALUATION

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