Martin Krekel
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View article: Optimal portfolios with a loan dependent credit spread
Optimal portfolios with a loan dependent credit spread Open
If an investor borrows money he generally has to pay higher interest rates than he would have received, if he had put his funds on a savings account. The classical model of continuous time portfolio optimisation ignores this effect. Since …
View article: A unified approach to credit default swaption and constant maturity credit default swap valuation
A unified approach to credit default swaption and constant maturity credit default swap valuation Open
1 Introduction S.1 2 Notation and model setup S.2-6 - 2.1 Default model, bond prices, and basic rates S.2 - 2.2 Forward measures and dynamics of risk free rates S.3 - 2.3 Survival measures and dynamics of risky rates S.4-6 Contents S.7-8 -…