Portfolio Optimisation and Calibration with Credit Risk

  title={Portfolio Optimisation and Calibration with Credit Risk},
  author={Evren Kutlay Baydar},
This thesis covers two important fields in financial mathematics, namely the continuous time portfolio optimisation and credit risk modelling. We analyse optimisation problems of portfolios of Call and Put options on the stock and/or the zero coupon bond issued by a firm with default risk. We use the martingale approach for dynamic optimisation problems. Our findings show that the riskier the option gets, the less proportion of his wealth the investor allocates to the risky asset. Further, we… CONTINUE READING