Utility valuation of multi-name credit derivatives and application to cdos

Quantitative Finance

Volumn 10, Issue 2, 2010, Pages 195-208

  Sircar, Ronnie ^a   Zariphopoulou, Thaleia ^b  

^a PRINCETON UNIVERSITY   (United States)

^b UNIVERSITY OF TEXAS AT AUSTIN   (United States)

Author keywords

Applications to credit risk; Applications to default risk; Applied mathematical finance; Continuous time finance; Control of stochastic systems; Pricing of derivatives securities; Pricing with utility based preferences; Utility indifference

Indexed keywords

EID: 75849153202     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680902744737     Document Type: Article

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