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

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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
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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
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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
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+Mean-variance hedging for general claims
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+Optional splitting formula in a progressively enlarged filtration
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