Optimal investment in a defaultable bond
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Publication:941018
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Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1055921 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- Credit risk models with incomplete information
- Modeling credit risk with partial information.
- On Cox processes and credit risky securities
- Pricing the risks of default
- Term Structures of Credit Spreads with Incomplete Accounting Information
- The pricing of options and corporate liabilities
Cited in
(20)- A portfolio optimization problem with a corporate bond
- OPTIMAL INVESTMENT STRATEGY VIA INTERVAL ARITHMETIC
- Zero Investment in a High Yield Asset Can be Optimal
- Dynamic portfolio optimization with a defaultable security and regime-switching
- Optimal investment in credit derivatives portfolio under contagion risk
- How to invest optimally in corporate bonds: a reduced-form approach
- A GENERAL FRAMEWORK FOR HIGH YIELD BOND INVESTMENT
- Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market
- Optimal reinsurance and investment problem with default risk and bounded memory
- Reaching nirvana with a defaultable asset?
- Information and optimal investment in defaultable assets
- Optimal investment and consumption with default risk: HARA utility
- Optimal investment and pricing in the presence of defaults
- Optimal portfolio choice in the bond market
- Non-zero-sum stochastic differential reinsurance and investment games with default risk
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- The European vulnerable option pricing with jumps based on a mixed model
- Pricing vulnerable option under jump-diffusion model with incomplete information
- Optimal investment with stochastic interest rate and default risk
- Optimal portfolio and consumption selection with default risk
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