Mean-Variance Hedging Under Multiple Defaults Risk
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Publication:3194565
DOI10.1080/07362994.2015.1038569zbMath1329.60175OpenAlexW1568640577MaRDI QIDQ3194565
Stéphane Goutte, Armand Ngoupeyou, Sébastien Choukroun
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
dynamic programmingquadratic backward stochastic differential equationsmean-variance hedgingdefault-density modelling
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Related Items (3)
An enlargement of filtration formula with applications to multiple non-ordered default times ⋮ Practice-relevant model validation: distributional parameter risk analysis in financial model risk management ⋮ The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims
Cites Work
- Optimal investment with counterparty risk: a default-density model approach
- Mean-variance hedging for general claims
- Continuous exponential martingales and BMO
- On quadratic hedging in continuous time
- An extension of mean-variance hedging to the discontinuous case
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Mean-variance hedging via stochastic control and BSDEs for general semimartingales
- Optimal investment under multiple defaults risk: a BSDE-decomposition approach
- Mean Variance Hedging in a General Jump Model
- Optional splitting formula in a progressively enlarged filtration
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
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