Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach
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- Goutte Stéphane & Ngoupeyou Armand, 2014. "Dual Optimization Problem on Defaultable Claims," Mathematical Economics Letters, De Gruyter, vol. 1(2-4), pages 1-8, July.
- Stephane Goutte & Armand Ngoupeyou, 2012. "Optimization problem and mean variance hedging on defaultable claims," Papers 1209.5953, arXiv.org.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-28 (All new papers)
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