CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP (Q3067766): Difference between revisions

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+Classical and variational differentiability of BSDEs with quadratic growth
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+Hazard rate for credit risk and hedging defaultable contingent claims
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+Changes of filtrations and of probability measures
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+Backward Stochastic Differential Equations in Finance
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+Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
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+Utility maximization in incomplete markets
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+Comportement des semi-martingales dans un grossissement de filtration
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+Continuous exponential martingales and BMO
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+Normal rank
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+Backward stochastic differential equations and partial differential equations with quadratic growth.
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