Optimal investment with counterparty risk: a default-density model approach
| Year of publication: |
2011
|
|---|---|
| Authors: | Jiao, Ying ; Pham, Huyên |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 15.2011, 4, p. 725-753
|
| Publisher: |
Springer |
| Subject: | Counterparty risk | Contagious loss or gain | Density of default time | Optimal investment | Duality | Dynamic programming | Backward stochastic differential equation (BSDE) |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009400208