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Optimal portfolios with stochastic interest rates and defaultable assets

Author: Holger Kraft
Publisher: Berlin ; New York, NY : Springer-Verlag, ©2004.
Series: Lecture notes in economics and mathematical systems, 300.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

However, this way of tackling portfolio problems is not restricted to portfolio problems with default able assets only, but it provides a general framework allowing for a compact formulation of  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Holger Kraft
ISBN: 3540212302 9783540212300
OCLC Number: 55018579
Description: x, 170 pages : illustrations ; 24 cm.
Contents: 1 Preliminaries from Stochastics.- 1.1 Stochastic Differential Equations.- 1.2 Stochastic Optimal Control.- 2 Optimal Portfolios with Stochastic Interest Rates.- 2.1 Introduction.- 2.2 Ho-Lee and Vasicek Model.- 2.2.1 Bond Portfolio Problem.- 2.2.2 Mixed Stock and Bond Portfolio Problem.- 2.3 Dothan and Black-Karasinski Model.- 2.4 Cox-Ingersoll-Ross Model.- 2.5 Widening the Investment Universe.- 2.6 Conclusion.- 3 Elasticity Approach to Portfolio Optimization.- 3.1 Introduction.- 3.2 Elasticity in Portfolio Optimization.- 3.3 Duration in Portfolio Optimization.- 3.4 Conclusion.- 3.5 Appendix.- 4 Barrier Derivatives with Curved Boundaries.- 4.1 Introduction.- 4.2 Bjork's Result.- 4.3 Deterministic Exponential Boundaries.- 4.4 Discounted Barrier and Gaussian Interest Rates.- 4.5 Application: Pricing of Defaultable Bonds.- 4.6 Conclusion.- 5 Optimal Portfolios with Defaultable Assets - A Firm Value Approach.- 5.1 Introduction.- 5.2 The Unconstrained Case.- 5.2.1 Merton Model.- 5.2.2 On the Assumption that Firm Value is Tradable.- 5.2.3 Black-Cox Model.- 5.3 From the Unconstrained to the Constrained Case.- 5.4 The Constrained Case.- 5.4.1 Merton Model.- 5.4.2 Black-Cox Model.- 5.4.3 Generalized Briys-de Varenne Model.- 5.5 Conclusion.- References.- Abbreviations.- Notations.
Series Title: Lecture notes in economics and mathematical systems, 300.
Responsibility: Holger Kraft.
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