Explicit form and robustness of martingale representations.
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Cited in
(25)- Asymptotic analysis of hedging errors in models with jumps
- Discretizing Malliavin calculus
- On the robustness of backward stochastic differential equations.
- A partial introduction to financial asset pricing theory.
- Functional Itō calculus and stochastic integral representation of martingales
- Time-consistent mean-variance portfolio selection in discrete and continuous time
- Set-valued risk measures as backward stochastic difference inclusions and equations
- Continuity of utility maximization under weak convergence
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- Functional limit theorems for stochastic integrals with applications to risk processes and to value processes of self-financing strategies in a multidimensional market. II
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
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- A class of complete benchmark models with intensity-based jumps
- On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
- Strict local martingales via filtration enlargement
- Stability results for martingale representations: the general case
- Martingale representation and all that
- BENCHMARKED RISK MINIMIZATION
- Weak approximation of martingale representations
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- On the orthogonal component of BSDEs in a Markovian setting
- Approximation of stochastic integrals with jumps via weighted BMO approach
- Local risk-minimization in exponential Lévy models: explicit representation and jump-adapted discretization
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