A BSDE Approach to Convex Risk Measures for Derivative Securities (Q3145066)

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A BSDE Approach to Convex Risk Measures for Derivative Securities
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    A BSDE Approach to Convex Risk Measures for Derivative Securities (English)
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    13 December 2012
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    backward stochastic differential equations
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    Clark-Ocone representation
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    convex risk measures
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    derivative securities
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    Malliavin derivatives
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