Dual optimization problem on defaultable claims (Q486473)
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scientific article; zbMATH DE number 6387048
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dual optimization problem on defaultable claims |
scientific article; zbMATH DE number 6387048 |
Statements
Dual optimization problem on defaultable claims (English)
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15 January 2015
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Hamilton-Jacobi-Bellman
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utility function
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indifference price
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bond
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default and credit risk
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