Optimal Credit Investment with Borrowing Costs-Reference-Cited by-同舟云学术

Optimal Credit Investment with Borrowing Costs

Published:2017-05 Issue:2 Volume:42 Page:546-575
ISSN:0364-765X
Container-title:Mathematics of Operations Research
language:en
Short-container-title:Mathematics of OR

Author:

Bo Lijun¹,Capponi Agostino²

Affiliation:

1. School of Mathematical Sciences, University of Science and Technology of China, 230026 Hefei, Anhui, China; and Wu Wen Tsun Key Laboratory of Mathematics, Chinese Academy of Science, 230026 Hefei, Anhui, China

2. Department of Industrial Engineering and Operations Research, Columbia University, New York, New York 10027

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Computer Science Applications,General Mathematics

Link

https://pubsonline.informs.org/doi/pdf/10.1287/moor.2016.0818

Reference31 articles.

1. Azizpour S, Giesecke K, Schwenkler G (2015) Exploring the sources of default clustering. Working paper, Stanford University, Stanford, CA.

2. A GENERAL FRAMEWORK FOR PRICING CREDIT RISK

3. Valuation and Hedging of Contracts with Funding Costs and Collateralization

4. OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK

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