A functional Itô's calculus approach to convex risk measures with jump diffusion
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Cites work
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- A BSDE approach to a risk-based optimal investment of an insurer
- A BSDE approach to convex risk measures for derivative securities
- A PDE approach for risk measures for derivatives with regime switching
- A PDE approach to risk measures of derivatives
- A functional extension of the Ito formula
- A short proof of a martingale representation result
- A simple proof of functional Itô's lemma for semimartingales with an application
- A stochastic minimum principle
- BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
- Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
- Backward stochastic differential equations with jumps and related nonlinear expectations
- Bayesian Risk Measures for Derivatives via Random Esscher Transform
- COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
- Classical solutions of path-dependent PDEs and functional forward-backward stochastic systems
- Coherent measures of risk
- Convex measures of risk and trading constraints
- Double martingales
- Entropic risk measures: coherence vs. convexity, model ambiguity and robust large deviations
- Functional Itô calculus, path-dependence and the computation of Greeks
- Functional Itô's calculus and dynamic convex risk measures for derivative securities
- Functional Itō calculus and stochastic integral representation of martingales
- Inf-convolution of risk measures and optimal risk transfer
- Introduction to a theory of value coherent with the no-arbitrage principle
- Markovian forward-backward stochastic differential equations and stochastic flows
- Mathematics of financial markets.
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- On convex principles of premium calculation
- On viscosity solutions of path dependent PDEs
- Portfolio optimization under model uncertainty and BSDE games
- Quelques applications de la formule de changement de variables pour les semimartingales
- Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options
- Representation of the penalty term of dynamic concave utilities
- Risk indifference pricing in jump diffusion markets
- Risk measures for derivatives with Markov-modulated pure jump processes
- Risk measures via \(g\)-expectations
- Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
Cited in
(6)- Functional Itô's calculus and dynamic convex risk measures for derivative securities
- Time-inconsistency with rough volatility
- Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
- Robust control in a rough environment
- Feynman-Kac for functional jump diffusions with an application to credit value adjustment
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