Ying Jiao, Huyên Pham. Optimal investment with counterparty risk: a default-density model approach. Finance and Stochastics, 15(4):725-753, 2011. [doi]
@article{JiaoP11,
title = {Optimal investment with counterparty risk: a default-density model approach},
author = {Ying Jiao and Huyên Pham},
year = {2011},
doi = {10.1007/s00780-010-0140-x},
url = {http://dx.doi.org/10.1007/s00780-010-0140-x},
researchr = {https://researchr.org/publication/JiaoP11},
cites = {0},
citedby = {0},
journal = {Finance and Stochastics},
volume = {15},
number = {4},
pages = {725-753},
}