13 citations · 34 across the 8 of their papers we have counts for
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q-fin.PM2013
Optimization problem under change of regime of interest rate
Bogdan Iftimie, Monique Jeanblanc, Thomas Lim +1
In this paper, we study the classical problem of maximization of the sum of the utility of the terminal wealth and the utility of the consumption, in a case where a sudden jump in…
q-fin.PM2010★ 10 cited
Portfolio optimization in a default model under full/partial information
Thomas Lim, Marie-Claire Quenez
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a defa…