Credit portfolio selection with decaying contagion intensities
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DOI: 10.1111/mafi.12177
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Cited by:
- F. Antonelli & A. Ramponi & S. Scarlatti, 2021.
"CVA and vulnerable options pricing by correlation expansions,"
Annals of Operations Research, Springer, vol. 299(1), pages 401-427, April.
- Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2018. "CVA and vulnerable options pricing by correlation expansions," Papers 1811.07294, arXiv.org.
- Zhuo Jin & Huafu Liao & Yue Yang & Xiang Yu, 2019. "Optimal Dividend Strategy for an Insurance Group with Contagious Default Risk," Papers 1909.09511, arXiv.org, revised Oct 2020.
- Yang Shen & Bin Zou, 2021. "Mean-Variance Portfolio Selection in Contagious Markets," Papers 2110.09417, arXiv.org.
- Lorig, Matthew & Zhou, Zhou & Zou, Bin, 2021. "Optimal bookmaking," European Journal of Operational Research, Elsevier, vol. 295(2), pages 560-574.
- Antonelli, Fabio & Ramponi, Alessandro & Scarlatti, Sergio, 2022. "Approximate value adjustments for European claims," European Journal of Operational Research, Elsevier, vol. 300(3), pages 1149-1161.
- Lijun Bo & Shihua Wang & Xiang Yu, 2021. "Mean Field Game of Optimal Relative Investment with Jump Risk," Papers 2108.00799, arXiv.org, revised Feb 2023.
- Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2020. "Approximate XVA for European claims," Papers 2007.07701, arXiv.org.
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