Geodesic
Valuation and optimal design to defaultable security
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
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

Voir la notice de l'article

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 
@article{10_4064_am33_3_6,
     author = {Jianhui Huang and Na Li},
     title = {Valuation and optimal design
 to defaultable security},
     journal = {Applicationes Mathematicae},
     pages = {305--321},
     year = {2006},
     volume = {33},
     number = {3-4},
     doi = {10.4064/am33-3-6},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.4064/am33-3-6/}
}
TY  - JOUR
AU  - Jianhui Huang
AU  - Na Li
TI  - Valuation and optimal design
 to defaultable security
JO  - Applicationes Mathematicae
PY  - 2006
SP  - 305
EP  - 321
VL  - 33
IS  - 3-4
UR  - http://geodesic.mathdoc.fr/articles/10.4064/am33-3-6/
DO  - 10.4064/am33-3-6
LA  - en
ID  - 10_4064_am33_3_6
ER  - 
%0 Journal Article
%A Jianhui Huang
%A Na Li
%T Valuation and optimal design
 to defaultable security
%J Applicationes Mathematicae
%D 2006
%P 305-321
%V 33
%N 3-4
%U http://geodesic.mathdoc.fr/articles/10.4064/am33-3-6/
%R 10.4064/am33-3-6
%G en
%F 10_4064_am33_3_6
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

Cité par Sources :