Mean-Variance Hedging Under Multiple Defaults Risk (Q3194565): Difference between revisions

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+https://doi.org/10.1080/07362994.2015.1038569
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+W1568640577
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+An extension of mean-variance hedging to the discontinuous case
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+Mean-variance hedging via stochastic control and BSDEs for general semimartingales
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+Optimal investment under multiple defaults risk: a BSDE-decomposition approach
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+Optimal investment with counterparty risk: a default-density model approach
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+Continuous exponential martingales and BMO
@@ Property / cites work: Continuous exponential martingales and BMO / rank @@
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+Backward stochastic differential equations and partial differential equations with quadratic growth.
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+Mean Variance Hedging in a General Jump Model
@@ Property / cites work: Mean Variance Hedging in a General Jump Model / rank @@
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+Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
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+On quadratic hedging in continuous time
@@ Property / cites work: On quadratic hedging in continuous time / rank @@
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+Mean-variance hedging for general claims
@@ Property / cites work: Mean-variance hedging for general claims / rank @@
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+Optional splitting formula in a progressively enlarged filtration
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