BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets

DOI10.1007/S13160-020-00442-YzbMath1475.60098arXiv1806.04025OpenAlexW2806503188MaRDI QIDQ2044135

Yushi Hamaguchi

Publication date: 4 August 2021

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.04025

zbMATH Keywords

bond marketbackward stochastic differential equationlocally risk-minimizing strategiescylindrical martingale

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic integrals (60H05) Financial markets (91G15)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Option hedging for semimartingales
• Towards a general theory of bond markets
• On the use of measure-valued strategies in bond markets
• The existence of absolutely continuous local martingale measures
• A theory of stochastic integration for bond markets
• Interest rate models: an infinite dimensional stochastic analysis perspective
• Super-replication and utility maximization in large financial markets
• Backward Stochastic Differential Equations Driven By Càdlàg Martingales
• Backward Stochastic Differential Equations in Finance
• On the minimal martingale measure and the möllmer-schweizer decomposition
• Stochastic Equations in Infinite Dimensions
• On a Class of Generalized Integrands

This page was built for publication: BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets