most citedPricing and Semimartingale Representations of Vulnerable Contingent Claims in Regime-Switching Markets

1 citations · 2 across the 3 of their papers we have counts for

collaborators
Showing q-fin.PMShow all

1 paper · 1 filter

q-fin.PM2011

Dynamic Portfolio Optimization with a Defaultable Security and Regime Switching

Agostino Capponi, Jose E. Figueroa-Lopez

We consider a portfolio optimization problem in a defaultable market with finitely-many economical regimes, where the investor can dynamically allocate her wealth among a defaultab…