Optimal investment in a defaultable bond

DOI10.1007/s11579-008-0011-9zbMath1142.91537OpenAlexW1969476490MaRDI QIDQ941018

Weijian Liang, Peter Lakner

Publication date: 4 September 2008

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-008-0011-9

zbMATH Keywords

utility maximizationdefault riskoptimal investmentcorporate bond

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites Work

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• The Pricing of Options and Corporate Liabilities
• On Cox processes and credit risky securities
• Pricing the risks of default
• Modeling credit risk with partial information.
• Credit Risk Models with Incomplete Information
• Term Structures of Credit Spreads with Incomplete Accounting Information