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Risk Aversion Asymptotics for Power Utility Maximization
power utility risk aversion asymptotics opportunity process
2010/10/19
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of ...
Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool
Investment-Grade Tranches Large Homogeneous Pool
2010/10/29
We use the theory of large deviations to study the pricing of investment-grade tranches of
synthetic CDO's. In this paper, we consider a simplied model which will allow us to introduce some of the c...