Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps (Q901242): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Q4279442 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingale laws, densities and decomposition of Föllmer-Schweizer / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximations of small jumps of Lévy processes with a view towards simulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: A note on convergence of option prices and their Greeks for Lévy models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2787474 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conjugate convex functions in optimal stochastic control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discrete-time approximation of decoupled Forward-Backward SDE with jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic integrals in the plane / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations Driven By Càdlàg Martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: \(\mathcal E\)-martingales and their applications in mathematical finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Föllmer-Schweizer decomposition: comparison and description / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robustness of quadratic hedging strategies in finance via Fourier transforms / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3974816 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3815091 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4778955 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-variance hedging via stochastic control and BSDEs for general semimartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Jump-adapted discretization schemes for Lévy-driven SDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Square Integrable Martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic integral representations, stochastic derivatives and minimal variance hedging / rank
 
Normal rank
Property / cites work
 
Property / cites work: RANDOM FIELDS: NON-ANTICIPATING DERIVATIVE AND DIFFERENTIATION FORMULAS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Minimal-Variance Hedging in Large Financial Markets: Random Fields Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2787551 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Reflected BSDE driven by a Lévy process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2771116 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximating random variables by stochastic integrals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market / rank
 
Normal rank

Latest revision as of 06:49, 11 July 2024

scientific article
Language Label Description Also known as
English
Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps
scientific article

    Statements

    Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps (English)
    0 references
    0 references
    0 references
    0 references
    23 December 2015
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    backward stochastic differential equations
    0 references
    jump diffusions
    0 references
    Poisson random measure
    0 references
    Brownian motion
    0 references
    quadratic hedging strategies
    0 references
    robustness
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references