Valuation and optimal design to defaultable security

DOI10.4064/AM33-3-6MaRDI QIDQ3419237zbMATH OpenOpenAlexFDO

Authors Jianhui Huang, Na Li

Publication date 6 February 2007

Published in Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/am33-3-6

zbMATH Keywords

BSDEdefault riskquasi-linear utilityreduced-form modelRMVstochastic maximum principle

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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(5)

• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Optimal investment under multiple defaults risk: a BSDE-decomposition approach
• Application of BSDE in standard inventory financing loan
• DESIGN AND VALUATION OF CORPORATE SECURITIES WITH STRATEGIC DEBT SERVICE AND ASYMMETRIC INFORMATION
• Optimal Design of Dynamic Default Risk Measures

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