1 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.PR2009★ 1 cited
Credit risk premia and quadratic BSDEs with a single jump
Stefan Ankirchner, Christophette Blanchet-Scalliet, Anne Eyraud-Loisel
This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles. Assuming exponential utility pr…
q-fin.CP2008★ 1 cited
Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon
Christophette Blanchet-Scalliet, Anne Eyraud-Loisel, Manuela Royer-Carenzi
This article focuses on the mathematical problem of existence and uniqueness of BSDE with a random terminal time which is a general random variable but not a stopping time, as it h…