Local risk-minimization for defaultable claims with recovery process
type: Item
instance of: scholarly article
title: Local risk-minimization for defaultable claims with recovery process
zbMATH Open document ID: 1244.93152
author: Francesca Biagini
author: Alessandra Cretarola
published in: Applied Mathematics and Optimization
publication date: 2012-08-01T00:00:00Z
Mathematics Subject Classification ID: 93E03
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6062896
zbMATH Keywords: defaultable markets
zbMATH Keywords: local risk-minimization
zbMATH Keywords: minimal martingale measure
zbMATH Keywords: pseudo-locally risk-minimizing strategy
zbMATH Keywords: payment stream
zbMATH Keywords: random delivery date
MaRDI profile type: Publication
full work available at URL: s00245-011-9155-8
OpenAlex ID: W2024340179
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DOI: 10.1007/S00245-011-9155-8
description: scientific article; zbMATH DE number 6062896