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Good deal hedging and valuation under combined uncertainty about drift and volatility
Portfolio optimization of credit swap under funding costs
1 School of Mathematics and Statistics, Xidian University, Xian 710071, China; 
2 School of Mathematical Sciences, University of Science and Technology of China, Hefei, Anhui Province 230026, China 
References:
[1] 
Azizpour, S, Giesecke, K, Schwenkler, G:Exploring the sources of default clustering. J. Finan. Econom.Forthcoming (2017), 
[2] 
Belanger, A, Shreve, S, Wong, D:A general framework for pricing credit risk. Math. Finan 14, 317350(2004), 
[3] 
Bielecki, T, Jang, I:Portfolio optimization with a defaultable security. AsiaPacific Finan. Markets 13, 113127 (2006), 
[4] 
Bielecki, T, Jeanblanc, M, Rutkowski, M:Pricing and trading credit default swaps in a hazard process model. Ann. Appl. Probab 18, 24952529 (2008), 
[5] 
Bielecki, T, Rutkowski, M:Valuation and hedging of contracts with funding costs and collateralization.SIAM J. Finan. Math 6, 594655 (2015), 
[6] 
Bo, L, Wang, Y, Yang, X:An optimal portfolio problem in a defaultable market. Adv. Appl. Probab 42, 689705 (2010), 
[7] 
Bo, L, Capponi, A:Optimal investment in credit derivatives portfolio under contagion risk. Math. Finan 26, 785834 (2016), 
[8] 
Bo, L, Capponi, A:Optimal credit investment with borrowing costs. Math Oper. Res 42, 546575 (2017), 
[9] 
Capponi, A, FigueroaLópez, JE:Dynamics portfolio optimization with a defaultable security and regimeswitching. Math Finan 24, 207249 (2014), 
[10] 
Chen, H:Macroeconomic conditions and the puzzles of credit spreads and capital structure. J. Finan 65, 21712212 (2010), 
[11] 
Crépey, S:Bilateral counterparty risk under funding constraints. Part I:pricing. Math Finan 25, 2350(2015), 
[12] 
Cvitanić, J, Karatzas, I:Hedging contingent claims with constrained portfolios. Ann. Appl. Probab 3, 652681 (1993), 
[13] 
Draouil, O, Oksendal, B:A donsker delta functional approach to optimal insider control and applications to finance. Commun. Math Stats 3, 365421 (2015), 
[14] 
Duffie, D, Singleton, K:Credit Risk. Princeton University Press, Princeton (2003), 
[15] 
El Karoui, N, Peng, S, Quenez, MC:Backward stochastic differential equations in finance. Math Finan 7, 171 (1997), 
[16] 
Frey, R, Backhaus, J:Pricing and hedging of portfolio credit derivatives with interacting default intensities.Int. J. Theor. Appl. Finan 11, 611634 (2008), 
[17] 
Giesecke, K, Kim, B, Kim, J, Tsoukalas, G:Optimal credit swap portfolios. Manage Sci 60, 22912307(2014), 
[18] 
Jarrow, R, Yu, F:Counterparty risk and the pricing of defaultable securities. J. Finan 56, 17651799 (2001), 
[19] 
Jiao, Y, Pham, H:Optimal investment with counterparty risk:a default density approach. Finan. Stoch 15, 725753 (2011), 
[20] 
Korn, R:Contingent claim valuation in a market with different interest rates. Math. Meth. Oper. Res 42, 255274 (1995), 
[21] 
Korn, R, Kraft, H:Optimal portfolios with defaultable securitiesa firm value approach. Int. J. Theor. Appl.Finan 6, 793819 (2003), 
[22] 
Kraft, H, Steffensen, M:Portfolio problems stopping at first hitting time with application to default risk.Math. Meth. Oper. Res 63, 123150 (2005), 
[23] 
Kumagai, S:An implicit function theorem:comment. J. Optim. Theor. Appl 31, 285288 (1980), 
[24] 
Mercurio, F:Bergman, Piterbarg, and Beyond:pricing derivatives under collateralization and differential rates. In:Londoño, J, Garrido, J, HernándezHernández, D (eds.) Actuarial Sciences and Quantitative, 
[25] 
Finance. Springer Proceedings in Mathematics & Statistics, vol 135. Springer, Cham (2015), 
show all references
References:
[1] 
Azizpour, S, Giesecke, K, Schwenkler, G:Exploring the sources of default clustering. J. Finan. Econom.Forthcoming (2017), 
[2] 
Belanger, A, Shreve, S, Wong, D:A general framework for pricing credit risk. Math. Finan 14, 317350(2004), 
[3] 
Bielecki, T, Jang, I:Portfolio optimization with a defaultable security. AsiaPacific Finan. Markets 13, 113127 (2006), 
[4] 
Bielecki, T, Jeanblanc, M, Rutkowski, M:Pricing and trading credit default swaps in a hazard process model. Ann. Appl. Probab 18, 24952529 (2008), 
[5] 
Bielecki, T, Rutkowski, M:Valuation and hedging of contracts with funding costs and collateralization.SIAM J. Finan. Math 6, 594655 (2015), 
[6] 
Bo, L, Wang, Y, Yang, X:An optimal portfolio problem in a defaultable market. Adv. Appl. Probab 42, 689705 (2010), 
[7] 
Bo, L, Capponi, A:Optimal investment in credit derivatives portfolio under contagion risk. Math. Finan 26, 785834 (2016), 
[8] 
Bo, L, Capponi, A:Optimal credit investment with borrowing costs. Math Oper. Res 42, 546575 (2017), 
[9] 
Capponi, A, FigueroaLópez, JE:Dynamics portfolio optimization with a defaultable security and regimeswitching. Math Finan 24, 207249 (2014), 
[10] 
Chen, H:Macroeconomic conditions and the puzzles of credit spreads and capital structure. J. Finan 65, 21712212 (2010), 
[11] 
Crépey, S:Bilateral counterparty risk under funding constraints. Part I:pricing. Math Finan 25, 2350(2015), 
[12] 
Cvitanić, J, Karatzas, I:Hedging contingent claims with constrained portfolios. Ann. Appl. Probab 3, 652681 (1993), 
[13] 
Draouil, O, Oksendal, B:A donsker delta functional approach to optimal insider control and applications to finance. Commun. Math Stats 3, 365421 (2015), 
[14] 
Duffie, D, Singleton, K:Credit Risk. Princeton University Press, Princeton (2003), 
[15] 
El Karoui, N, Peng, S, Quenez, MC:Backward stochastic differential equations in finance. Math Finan 7, 171 (1997), 
[16] 
Frey, R, Backhaus, J:Pricing and hedging of portfolio credit derivatives with interacting default intensities.Int. J. Theor. Appl. Finan 11, 611634 (2008), 
[17] 
Giesecke, K, Kim, B, Kim, J, Tsoukalas, G:Optimal credit swap portfolios. Manage Sci 60, 22912307(2014), 
[18] 
Jarrow, R, Yu, F:Counterparty risk and the pricing of defaultable securities. J. Finan 56, 17651799 (2001), 
[19] 
Jiao, Y, Pham, H:Optimal investment with counterparty risk:a default density approach. Finan. Stoch 15, 725753 (2011), 
[20] 
Korn, R:Contingent claim valuation in a market with different interest rates. Math. Meth. Oper. Res 42, 255274 (1995), 
[21] 
Korn, R, Kraft, H:Optimal portfolios with defaultable securitiesa firm value approach. Int. J. Theor. Appl.Finan 6, 793819 (2003), 
[22] 
Kraft, H, Steffensen, M:Portfolio problems stopping at first hitting time with application to default risk.Math. Meth. Oper. Res 63, 123150 (2005), 
[23] 
Kumagai, S:An implicit function theorem:comment. J. Optim. Theor. Appl 31, 285288 (1980), 
[24] 
Mercurio, F:Bergman, Piterbarg, and Beyond:pricing derivatives under collateralization and differential rates. In:Londoño, J, Garrido, J, HernándezHernández, D (eds.) Actuarial Sciences and Quantitative, 
[25] 
Finance. Springer Proceedings in Mathematics & Statistics, vol 135. Springer, Cham (2015), 
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