Pages that link to "Item:Q1948694"
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The following pages link to Optimal investment under multiple defaults risk: a BSDE-decomposition approach (Q1948694):
Displaying 27 items.
- Optimal investment and consumption with default risk: HARA utility (Q370878) (← links)
- Default barrier intensity model for credit risk evaluation (Q464482) (← links)
- Dynamic credit investment in partially observed markets (Q889624) (← links)
- Optimal investment in markets with over and under-reaction to information (Q1679555) (← links)
- An enlargement of filtration formula with applications to multiple non-ordered default times (Q1691452) (← links)
- Dynamic investment and counterparty risk (Q1705168) (← links)
- Explicit pricing formulas for European option with asset exposed to double defaults risk (Q1727278) (← links)
- Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient (Q1731595) (← links)
- Risk-sensitive credit portfolio optimization under partial information and contagion risk (Q2083252) (← links)
- A maximum principle for a stochastic control problem with multiple random terminal times (Q2128538) (← links)
- Option pricing for path-dependent options with assets exposed to multiple defaults risk (Q2183237) (← links)
- The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims (Q2258827) (← links)
- Information uncertainty related to marked random times and optimal investment (Q2296112) (← links)
- BSDEs of counterparty risk (Q2347456) (← links)
- Optimal credit investment and risk control for an insurer with regime-switching (Q2633456) (← links)
- A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk (Q2796752) (← links)
- Optimization problem under change of regime of interest rate (Q2816571) (← links)
- OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK (Q2831003) (← links)
- Robust Optimization of Credit Portfolios (Q2976139) (← links)
- Mean-Variance Hedging Under Multiple Defaults Risk (Q3194565) (← links)
- Portfolio Choice with Market--Credit-Risk Dependencies (Q4582831) (← links)
- Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching (Q4614935) (← links)
- A Risk-Sharing Framework of Bilateral Contracts (Q5112729) (← links)
- Risk-Sensitive Asset Management and Cascading Defaults (Q5219291) (← links)
- Dynamic Portfolio Optimization with Looping Contagion Risk (Q5742492) (← links)
- Binary funding impacts in derivative valuation (Q6054135) (← links)
- Pricing European options under stochastic looping contagion risk model (Q6179935) (← links)
