Utility valuation of multi-name credit derivatives and application to CDOs
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- Jinbeom Kim & Tim Leung, 2016. "Impact of risk aversion and belief heterogeneity on trading of defaultable claims," Annals of Operations Research, Springer, vol. 243(1), pages 117-146, August.
- Shican Liu & Yanli Zhou & Benchawan Wiwatanapataphee & Yonghong Wu & Xiangyu Ge, 2018. "The Study of Utility Valuation of Single-Name Credit Derivatives with the Fast-Scale Stochastic Volatility Correction," Sustainability, MDPI, vol. 10(4), pages 1-21, March.
- John R. Birge & Lijun Bo & Agostino Capponi, 2018. "Risk-Sensitive Asset Management and Cascading Defaults," Mathematics of Operations Research, INFORMS, vol. 43(1), pages 1-28, February.
- Vicky Henderson & Gechun Liang, 2011. "A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk," Papers 1111.3856, arXiv.org, revised Sep 2015.
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KeywordsApplications to credit risk; Applications to default risk; Applied mathematical finance; Utility indifference; Continuous time finance; Pricing with utility based preferences; Pricing of derivatives securities; Control of stochastic systems;
All these keywords.
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