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AMS 93E20

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AMS Classification 93E20
"Optimal stochastic control"

These are all the papers that have the " 93E20 " classification. Note that not all authors/journals assign MSC codes.     (sorted by date)

Pricing and Semimartingale Representations of Vulnerable Contingent Claims in Regime-Switching Markets
by Agostino Capponi of Purdue University,
José E. Figueroa-López of Purdue University, and
Jeffrey Nisen of Purdue University
(716K PDF) -- 33 pages -- February 28, 2012

Dynamic Portfolio Optimization with a Defaultable Security and Regime Switching
by Agostino Capponi of the Purdue University, and
José E. Figueroa-López of the Purdue University
(745K PDF) -- 40 pages -- September 6, 2011

Explicit Solutions to Optimal Risk-Averse Trading of Defaultable Bonds Under Heterogeneous Beliefs
by Tim S.T. Leung of the Johns Hopkins University
(514K PDF) -- 27 pages -- October 22, 2010

Credit Risk Premia and Quadratic BSDEs with a Single Jump
by Stefan Ankirchner of the Universtät Bonn,
Christophette Blanchet-Scalliet of the Université de Lyon, and
Anne Eyraud-Loisel of the Université Lyon 1
(303K PDF) -- 27 pages -- June 8, 2010

Pricing and Hedging in the Presence of Extraneous Risks
by Pierre Collin-Dufresne of the University of California, Berkeley, and
Julien Hugonnier of the Swiss Finance Institute & HEC Université de Lausanne
(415K PDF) -- 24 pages -- June 2007

How to Invest Optimally in Corporate Bonds: A reduced-form approach
by Holger Kraft of the University of Kaiserslautern, and
Mogens Steffensen of the University of Copenhagen
(538K PDF) -- 35 pages -- May 10, 2005


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