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

stochastic maximum principledefault riskreduced-form modelBSDEquasi-linear utilityRMV

Mathematics Subject Classification ID

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

Recommendations

• Optimal portfolio and consumption selection with default risk
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Exponential utility maximization in an incomplete market with defaults
• OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH
• Optimal investment under multiple defaults risk: a BSDE-decomposition approach

Cited in

(4)

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

This page was built for publication: Valuation and optimal design to defaultable security

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3419237)