Access this book
Tax calculation will be finalised at checkout
Other ways to access
Table of contents (10 chapters)
Keywords
About this book
The monograph is organized as follows: Chapter 1 reviews the main avenues of literature related to our problem; Chapter 2 provides a brief overview of the main optimal control principles; and Chapter 3 presents the models and their setting.
In the remaining chapters, the authors propose two sets of programs. One set of programs will apply in cases where the information on the assets=value is readily available (full observation case), while the other applies when costly audits are needed in order to assess this value (partial observation case).
In either case, the modeling stage leads to a set of quasi-variational inequalities which the authors attempt to solve numerically in the simpler case of full observations. This is done in Chapter 6. Finally a simulation analysis is carried out in Chapter 7, in which the authors study the influence on the control process of changes in the different model parameters. This precedes a discussion on possible extensions in Chapter 8 and some concluding remarks in Section 9.
Authors and Affiliations
Bibliographic Information
Book Title: Optimal Control of Credit Risk
Authors: Didier Cossin, Felipe M. Aparicio
Series Title: Advances in Computational Management Science
DOI: https://doi.org/10.1007/978-1-4615-1393-3
Publisher: Springer New York, NY
-
eBook Packages: Springer Book Archive
Copyright Information: Springer Science+Business Media Dordrecht 2001
Hardcover ISBN: 978-0-7923-7938-6Published: 30 April 2001
Softcover ISBN: 978-1-4613-5531-1Published: 31 October 2012
eBook ISBN: 978-1-4615-1393-3Published: 28 November 2012
Series ISSN: 1388-4301
Edition Number: 1
Number of Pages: VII, 102
Topics: Finance, general, Economic Theory/Quantitative Economics/Mathematical Methods