A change of measure formula for recursive conditional expectations

DOI10.1142/S0219024924500080MaRDI QIDQ6633866zbMATH OpenFDO

Authors Luca Di Persio, Alessandro Gnoatto, Marco Patacca

Publication date 6 November 2024

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024924500080

zbMATH Keywords

BSDEchange of measurenonlinear valuationpricingrecursive conditional expectation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Jump processes on discrete state spaces (60J74) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A benchmark approach to quantitative finance
• A unified approach to xVA with CSA discounting and initial margin
• Adapted solution of a backward stochastic differential equation
• Arbitrage Theory in Continuous Time
• Arbitrage-free XVA
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
• BSDEs driven by multidimensional martingales and their applications to markets with funding costs
• Changes of numéraire, changes of probability measure and option pricing
• Conjugate convex functions in optimal stochastic control
• Cross Currency Valuation and Hedging in the Multiple Curve Framework
• Financial markets theory. Equilibrium, efficiency and information
• Forward-backward stochastic differential equations and their applications
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Lévy Processes and Stochastic Calculus
• Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
• Numerical methods for backward stochastic differential equations: a survey
• Stochastic calculus and applications
• Valuation and hedging of contracts with funding costs and collateralization

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