Optimal securitization of credit portfolios via impulse control
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Publication:1932538
DOI10.1007/S11579-010-0033-YzbMath1255.91419OpenAlexW3125053283MaRDI QIDQ1932538
Rüdiger Frey, Roland C. Seydel
Publication date: 20 January 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-010-0033-y
quasi-variational inequalitiescredit riskviscosity solutionsimpulse controlsecuritizationiterated optimal stopping
Related Items (2)
ON THE CREDIT RISK OF SECURED LOANS WITH MAXIMUM LOAN-TO-VALUE COVENANTS ⋮ On the Modeling of Impulse Control with Random Effects for Continuous Markov Processes
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