INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT

DOI10.1111/j.1467-9965.2010.00457.xzbMath1278.91176OpenAlexW1832762784MaRDI QIDQ4906540

Sebastian Jaimungal, Georg Sigloch

Publication date: 28 February 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00457.x

zbMATH Keywords

robust optimizationrisk aversionambiguity aversionindifference valuationhybrid default model

Mathematics Subject Classification ID

Credit risk (91G40)

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Cites Work

• Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
• Default and information
• Real options with constant relative risk aversion
• A minimality property of the minimal martingale measure
• Optimal investments for risk- and ambiguity-averse preferences: a duality approach
• Stochastic Volatility Effects on Defaultable Bonds
• Credit derivatives and risk aversion
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
• Term Structures of Credit Spreads with Incomplete Accounting Information
• PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
• European Option Pricing with Transaction Costs
• Utility valuation of multi-name credit derivatives and application to CDOs
• PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER

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