Mean-variance hedging under multiple defaults risk

DOI10.1080/07362994.2015.1038569MaRDI QIDQ3194565zbMATH OpenOpenAlexFDO

Authors Sébastien Choukroun, Stéphane Goutte, Armand Ngoupeyou

Publication date 20 October 2015

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2015.1038569

zbMATH Keywords

default-density modellingdynamic programmingmean-variance hedgingquadratic backward stochastic differential equations

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

• An extension of mean-variance hedging to the discontinuous case
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Continuous exponential martingales and BMO
• Mean Variance Hedging in a General Jump Model
• Mean-variance hedging for general claims
• Mean-variance hedging via stochastic control and BSDEs for general semimartingales
• On quadratic hedging in continuous time
• Optimal investment under multiple defaults risk: a BSDE-decomposition approach
• Optimal investment with counterparty risk: a default-density model approach
• Optional splitting formula in a progressively enlarged filtration
• Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market

Cited in

(6)

• An enlargement of filtration formula with applications to multiple non-ordered default times
• Optimal investment under multiple defaults risk: a BSDE-decomposition approach
• The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims
• The Mean-Variance Hedging of a Defaultable Option with Partial Information
• Practice-relevant model validation: distributional parameter risk analysis in financial model risk management
• An evolutionary game theory approach for analyzing risk-based financing schemes

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