Hedging and utility valuation of a defaultable claim driven by Hawkes processes
type: Item
instance of: scholarly article
title: Hedging and utility valuation of a defaultable claim driven by Hawkes processes
author: Puneet Pasricha
author: Selvamuthu Dharmaraja
author: Paola Tardelli
published in: Applied Stochastic Models in Business and Industry
publication date: 2024-07-29T00:00:00Z
Mathematics Subject Classification ID: 62-XX
zbMATH DE Number: 7888920
zbMATH Keywords: backward stochastic differential equations
zbMATH Keywords: default time
zbMATH Keywords: exponential utility
zbMATH Keywords: Hawkes processes
zbMATH Keywords: optimal investment
MaRDI profile type: MaRDI publication profile
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DOI: 10.1002/ASMB.2663
description: scientific article; zbMATH DE number 7888920