@inbook{e8ab77383fb8452283736a42da014a4d,
title = "Utility valuation of credit derivatives: Single and two-name cases",
abstract = "We study the effect of risk aversion on the valuation of credit derivatives. Using the technology of utility-indiffierence valuation in intensity-based models of default risk, we analyze resulting yield spreads for single-name defaultable bonds and a simple representative two-name credit derivative. The impact of risk averse valuation on prices and yield spreads is expressed in terms of “effective correlation.”.",
keywords = "Credit derivatives, indifference pricing, reaction–diffusion equations",
author = "Ronnie Sircar and Thaleia Zariphopoulou",
note = "Publisher Copyright: {\textcopyright} 2007, Birkh{\"a}user Boston.",
year = "2007",
doi = "10.1007/978-0-8176-4545-8_15",
language = "English (US)",
series = "Applied and Numerical Harmonic Analysis",
publisher = "Springer International Publishing",
number = "9780817645441",
pages = "279--301",
booktitle = "Applied and Numerical Harmonic Analysis",
edition = "9780817645441",
}