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Davis, John;Senior Lecturer of Business Administration in Harvard Business School(图)
Davis, John Senior Lecturer Business Administration
2011/9/29
Asymptotics and Duality for the Davis and Norman Problem
Asymptotics Duality Davis Norman Problem
2010/10/22
We revisit the problem of maximizing expected logarithmic utility from consumption over an infinite horizon in the Black-Scholes model with proportional transaction costs, as studied in the seminal p...
An extension of Davis and Lo's contagion model
credit risk contagion model dependent defaults default distribution exchangeability
2010/10/29
firms which may default directly or may be infected by other defaulting firms (a domino effect being also possible). The spontaneous default without external influence and the infections are described...