Utility indifference valuation of corporate bond with rating migration risk

DOI10.1007/S11464-015-0445-3zbMath1323.93077OpenAlexW2110969849MaRDI QIDQ889421

Jin Liang, Xudan Zhang, Yuejuan Zhao

Publication date: 6 November 2015

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-015-0445-3

zbMATH Keywords

HJB equationutility indifference pricecredit rating migrationMarkov-modulated framework

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Credit risk (91G40)

Cites Work

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• EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
• European Option Pricing with Transaction Costs
• Utility valuation of multi-name credit derivatives and application to CDOs
• Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
• Portfolio optimization with unobservable Markov-modulated drift process

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