Local Risk-Minimization for Defaultable Claims with Recovery Process-Reference-Cited by-同舟云学术

Local Risk-Minimization for Defaultable Claims with Recovery Process

Published:2011-11-08 Issue:3 Volume:65 Page:293-314
ISSN:0095-4616
Container-title:Applied Mathematics & Optimization
language:en
Short-container-title:Appl Math Optim

Author:

Biagini Francesca,Cretarola Alessandra

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Control and Optimization

Link

http://link.springer.com/content/pdf/10.1007/s00245-011-9155-8.pdf

Reference27 articles.

1. Biagini, F., Cretarola, A.: Quadratic hedging methods for defaultable claims. Appl. Math. Optim. 56(3), 425–443 (2007)

2. Biagini, F., Cretarola, A.: Local risk-minimization for defaultable markets. Math. Finance 19(4), 669–689 (2009)

3. Bielecki, T.R., Jeanblanc, M.: Indifference pricing of defaultable claims. In: Carmona, R. (ed.) Indifference Pricing, Theory and Applications, Chap. 6, pp. 211–240. Princeton University Press, Princeton (2009)

4. Springer-Finance;T.R. Bielecki,2004

5. Contemporary Mathematics;T.R. Bielecki,2004

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