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CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP - MaRDI portal

CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP (Q3067766)

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CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
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    title
    CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP (English)
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    publication date
    13 January 2011
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    zbMATH DE Number
    5835760
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    zbMATH Keywords
    backward stochastic differential equations (BSDE)
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    defaultable contingent claims
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    progressive enlargement of filtrations
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    utility maximization
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    credit risk premium
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    arXiv ID
    0907.1221
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