Optimal investment with counterparty risk: a default-density modeling approach

Document type :
Journal articles
Complete list of metadatas

https://hal.archives-ouvertes.fr/hal-00658948
Contributor : Serena Benassù <>
Submitted on : Wednesday, January 11, 2012 - 4:03:53 PM
Last modification on : Friday, May 24, 2019 - 5:31:20 PM

Identifiers

  • HAL Id : hal-00658948, version 1

Citation

Y. Jiao, H. Pham. Optimal investment with counterparty risk: a default-density modeling approach. Finance and Stochastics, Springer Verlag (Germany), 2011, 15 (4), pp.725-753. ⟨hal-00658948⟩

Share

Metrics

Record views

90