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- Damir Filipovic, Anders B. Trolle, Michael J. Fleming, Masaaki Fujii, João D. Gomes, Holger Kraft
- 2012

We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to LIBOR and overnight indexed swaps. We develop a model of interbank risk to decompose the term structure into default and non-default (liquidity) components. We find that, on average, from August 2007 to January 2011, the fraction of total interbank risk… (More)

- Francis A. Longstaff, Arvind Rajan, +4 authors Jing Zhang
- 2006

We use the information in collateralized debt obligations (CDO) prices to study market expectations about how corporate defaults cluster. A three-factor portfolio credit model explains virtually all of the time-series and cross-sectional variation in an extensive data set of CDX index tranche prices. Tranches are priced as if losses of 0.4%, 6%, and 35% of… (More)

Almost ten years have passed now since the first concepts for all-solid-state imaging range cameras were proposed in publications or patents [1,3]. The general feasibility was shown relatively quickly [2,4] and it is now widely accepted that CMOS-based range imaging is one of the most promising future technologies in the field of photonics and optical… (More)

- Ralf Korn, Holger Kraft
- SIAM J. Control and Optimization
- 2002

We consider investment problems where an investor can invest in a savings account, stocks and bonds and tries to maximize her utility from terminal wealth. In contrast to the classical Merton problem we assume a stochastic interest rate. To solve the corresponding control problems it is necessary to prove a veri cation theorem without the usual Lipschitz… (More)

- Holger Kraft, Frank Thomas Seifried, Mogens Steffensen
- Finance and Stochastics
- 2013

- Holger Kraft, Claus Munk
- Management Science
- 2011

We provide explicit solutions to life-cycle utility maximization problems simultaneously involving dynamic decisions on investments in stocks and bonds, consumption of perishable goods, and the rental and the ownership of residential real estate. House prices, stock prices, interest rates, and the labor income of the decision-maker follow correlated… (More)

Personal financial decision making plays an important role in modern finance. Decision problems about consumption and insurance are modelled in a continuous-time multi-state Markovian framework. The optimal solution is derived and studied. The model, the problem, and its solution are exemplified by two special cases: In one model the individual takes… (More)

- Holger Kraft, Frank Thomas Seifried
- J. Economic Theory
- 2014

We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic differential utility, as introduced by Duffie and Epstein (1992), in the continuous-time limit of vanishing grid size.

- Holger Kraft
- Math. Meth. of OR
- 2003

- Holger Kraft, Mogens Steffensen
- Math. Meth. of OR
- 2006

In this paper a portfolio problem is considered where trading in the risky asset is stopped if a state process hits a predefined barrier. This state process need not to be perfectly correlated with the risky asset. We give a representation result for the value function and provide a verification theorem. As an application, we explicitly solve the problem by… (More)