@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 = "Funding Information: Ronnie Sircar{\textquoteright}s work is partially supported by NSF grant DMS-0456195. Thaleia Zariphopoulou{\textquoteright}s work is partially supported by NSF grants DMS-0456118 and DMS-0091946. This work was presented at conferences at the CRM Montreal, Newton Institute Cambridge, SAMSI North Carolina, the SIAM Annual Meeting in New Orleans, the INFORMS Annual Meeting in San Francisco, and at a seminar at UC Santa Barbara. We are grateful to the participants for fruitful comments. 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",
}