• Corpus ID: 251564214

Before and after default: information and optimal portfolio via anticipating calculus

  title={Before and after default: information and optimal portfolio via anticipating calculus},
  author={Jos'e A. Salmer'on and Giulia Di Nunno and Bernardo D'Auria},
Default risk calculus emerges naturally in a portfolio optimization problem when the risky asset is threatened with a bankruptcy. The usual stochastic control tech-niques do not hold in this case and some additional assumptions are generally added to achieve the optimization in a before-and-after default context. We show how it is possible to avoid one of theses restrictive assumptions, the so-called Jacod density hypothesis , by using the framework of the forward integration. In particular, in… 



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  • T. LimM. Quenez
  • Economics, Mathematics
    Probability in the Engineering and Informational Sciences
  • 2015
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