Titlebook: Optimal Control of Credit Risk; Didier Cossin,Felipe M. Aparicio Book 2001 Springer Science+Business Media Dordrecht 2001 credit risk.deri

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perimenopause

The Model,in financial guarantees. It can be used for ongoing control of guarantees (i.e., impulse control) or for optimal seizure timing (i.e., stopping time). In the real world, some situations will allow for ongoing control; others will leave only seizure as a control mean. When ongoing control is allowed,

拍翅

Full-Observation Case,tion case, where the guarantor can only monitor the value of the guarantee through costly audits, the problem consists also in deciding when it is best to audit). First of all, we have the value of the guarantee at time ., .(.), modelled as a .with drift and diffusion parameters, α(.(.).) and σ(.(.)

Myosin

Partial Observation Case,rrent position of the guaranteed party’s assets. This situation will change the program in two different dimensions: (1) the dynamics of the controlled assets’ value, .(.), and (2) the costs faced by the guarantor. Because of these auditing costs, the guarantor will be led to observe the assets’ val

Glucocorticoids

Numerical Approaches,c complexity of the problems, which prevents from obtaining qualitative information on the system’s behavior. In spite of the large amount of research done in computational methods for optimal control, the part concerning management problems is rather small.

CON

Conclusions,uarantees. The methodology of Quasi Variational Inequalities was adapted to our problem, and exemplifies a possible approach to impulse control problems in finance. Models of optimal auditing and control policies in a variety of situations were derived: full observation with repeated control, full o

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978-1-4613-5531-1Springer Science+Business Media Dordrecht 2001

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