An essential element of any realistic investment portfolio selection is the consideration of transaction costs. Our purpose, in this paper, is to determine the maximum return and the corresponding number of securities to buy giving such return, whenever practical constraints features related to...

The survival probability curve associated with a given underlying reference entity is a central quantity to price credit risk. In the current credit market, Credit Defaults Swaps(CDSs) are liquidly traded for a large range of obligors and maturities, such that the implied survival probabilities...