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Before and after default: information and optimal portfolio via anticipating calculus
Default risk calculus plays a crucial role in portfolio optimization when the risky asset is under threat of bankruptcy.
Discounted optimal stopping of a Brownian bridge, with application to American options under pinning
Mathematically, the execution of an American-style financial derivative is commonly reduced to solving an optimal stopping problem.
Valuing the anticipative information on the stochastic short interest rates
Portfolio optimization is an important financial tool in particular to price financial derivatives.
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