Georg Sigloch

University of Toronto - Department of Mathematics

Toronto, Ontario M5S 3G3

Canada

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Incorporating Risk and Ambiguity Aversion into a Hybrid Model of Default

Jaimungal, Sebastian, and Georg Sigloch. "Incorporating risk and ambiguity aversion into a hybrid model of default." Mathematical Finance 22.1 (2012): 57-81.
Number of pages: 31 Posted: 25 Feb 2009 Last Revised: 27 Apr 2015
Sebastian Jaimungal and Georg Sigloch
University of Toronto - Department of Statistics and University of Toronto - Department of Mathematics
Downloads 377 (64,334)
Citation 6

Abstract:

Strucutural Models, Intensity Models, Stochastic Optimal Control, Robust Optimization, Indifference Valuation, Defaultable Bonds, Credit Default Swap

Incorporating Risk and Ambiguity Aversion into a Hybrid Model of Default

Mathematical Finance, Vol. 22, Issue 1, pp. 57-81, 2012
Number of pages: 25 Posted: 21 Jan 2012
Sebastian Jaimungal and Georg Sigloch
University of Toronto - Department of Statistics and University of Toronto - Department of Mathematics
Downloads 3 (563,256)
Citation 6
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Abstract:

hybrid default model, indifference valuation, robust optimization, ambiguity aversion, risk aversion