LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS
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Publication:3650927
DOI10.1111/j.1467-9965.2009.00384.xzbMath1185.91092MaRDI QIDQ3650927
Alessandra Cretarola, Francesca Biagini
Publication date: 7 December 2009
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: http://amsdottorato.unibo.it/422/1/PhDthesis.pdf
91B24: Microeconomic theory (price theory and economic markets)
91B26: Auctions, bargaining, bidding and selling, and other market models
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LOCALLY RISK-MINIMIZING HEDGING FOR EUROPEAN CONTINGENT CLAIMS WRITTEN ON NON-TRADABLE ASSETS WITH COMMON JUMP RISK, LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES, Hedging the Risk of Delayed Data in Defaultable Markets, Hedging of contingent claims written on non traded assets under Markov-modulated models, Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets, Risk-minimization for life insurance liabilities with basis risk, BSDEs under partial information and financial applications, Local risk-minimization for defaultable claims with recovery process, Hedging of defaultable claims in a structural model using a locally risk-minimizing approach, A benchmark approach to risk-minimization under partial information, A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market, The Föllmer-Schweizer decomposition: comparison and description, Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives, Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting, Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization, Systematic equity-based credit risk: A CEV model with jump to default, Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts, Quadratic hedging methods for defaultable claims, Information on jump sizes and hedging, An optimal portfolio problem in a defaultable market, Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models
Cites Work
- Valuation and hedging of life insurance liabilities with systematic mortality risk
- Quadratic hedging methods for defaultable claims
- Hedging life insurance contracts in a Lévy process financial market
- A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
- On systematic mortality risk and risk-minimization with survivor swaps
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- Locally Risk-minimizing Hedging of Insurance Payment Streams
- On the minimal martingale measure and the möllmer-schweizer decomposition
- Local risk minimization and numéraire
- Credit risk: Modelling, valuation and hedging
- Risk-minimizing hedging strategies for insurance payment processes
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