Geodesic
Valuation and optimal design to defaultable security
Jianhui Huang1 ; Na Li2
1CAB 632 Department of Mathematics and Statistics University of Alberta Edmonton, Alberta Canada T6G 2G1
2Department of Real Estate and Construction The University of Hong Kong Pokfulam, Hong Kong
Applicationes Mathematicae, Tome 33 (2006) no. 3-4, pp. 305-321
Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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Herein, we develop a backward stochastic differential equation (BSDE) valuation of securities with default risk. Consequently, the optimal recovery problem with quasi-linear utility functions is discussed with the help of the stochastic maximum principle. Finally, two important examples: the exponential and power utility cases are studied and their business implications are considered.
DOI : 10.4064/am33-3-6
Keywords: herein develop backward stochastic differential equation bsde valuation securities default risk consequently optimal recovery problem quasi linear utility functions discussed help stochastic maximum principle finally important examples exponential power utility cases studied their business implications considered

Jianhui Huang  1   ; Na Li  2

1 CAB 632 Department of Mathematics and Statistics University of Alberta Edmonton, Alberta Canada T6G 2G1
2 Department of Real Estate and Construction The University of Hong Kong Pokfulam, Hong Kong 
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 to defaultable security
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Jianhui Huang; Na Li. Valuation and optimal design
 to defaultable security. Applicationes Mathematicae, Tome 33 (2006) no. 3-4, pp. 305-321. doi: 10.4064/am33-3-6

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