Optimal investment with counterparty risk: a default-density model approach
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Volume (Year): 15 (2011)
Issue (Month): 4 (December)
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References listed on IDEAS
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- Jeanblanc, Monique & Le Cam, Yann, 2009. "Progressive enlargement of filtrations with initial times," Stochastic Processes and their Applications, Elsevier, vol. 119(8), pages 2523-2543, August.
- Robert A. Jarrow, 2001. "Counterparty Risk and the Pricing of Defaultable Securities," Journal of Finance, American Finance Association, vol. 56(5), pages 1765-1799, October.
- El Karoui, Nicole & Jeanblanc, Monique & Jiao, Ying, 2010. "What happens after a default: The conditional density approach," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1011-1032, July.
- Bruno Bouchard & Huyên Pham, 2004. "Wealth-path dependent utility maximization in incomplete markets," Finance and Stochastics, Springer, vol. 8(4), pages 579-603, November.
- Blanchet-Scalliet, Christophette & El Karoui, Nicole & Jeanblanc, Monique & Martellini, Lionel, 2008. "Optimal investment decisions when time-horizon is uncertain," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1100-1113, December.
- Damiano Brigo & Agostino Capponi, 2008. "Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps," Papers 0812.3705, arXiv.org, revised Nov 2009.
- Dufresne, Pierre Collin & Hugonnier, Julien, 2007. "Pricing and hedging in the presence of extraneous risks," Stochastic Processes and their Applications, Elsevier, vol. 117(6), pages 742-765, June.
- Bouchard, Bruno & Pham, Huyen, 2004. "Wealth-Path Dependent Utility Maximization in Incomplete Markets," Economics Papers from University Paris Dauphine 123456789/1803, Paris Dauphine University.
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