Dual optimization problem on defaultable claims
Year of publication: |
2013
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Authors: | Goutte, Stéphane ; Ngoupeyou, Armand |
Published in: |
Mathematical economics letters. - Berlin : de Gruyter, ISSN 2195-4615, ZDB-ID 2741057-2. - Vol. 1.2013, 2/4, p. 47-54
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Subject: | Hamilton-Jacobi-Bellman | Utility Function | Indifference Price | Bond | Default and Credit Risk | Kreditrisiko | Credit risk | Insolvenz | Insolvency | Nutzenfunktion | Utility function | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming | Anleihe | Portfolio-Management | Portfolio selection |
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