OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK
Author:
Affiliation:
1. Xidian University
2. Johns Hopkins University
Funder
Chinese government
Central Universities
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12074/fullpdf
Reference31 articles.
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2. A General Framework for Pricing Credit Risk;Belanger;Math. Finance,2004
3. Berndt , A. R. Douglas M. Ferguson D. Schranz 2005 Measuring Default-Risk Premia from Default Swap Rates and EDFs
4. Portfolio Optimization with a Defaultable Security;Bielecki;Asia-Pacific Finan. Markets,2006
5. Defaultable Options in a Markov Intensity Model of Credit Risk;Bielecki;Math. Finance,2008a
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