Local risk-minimization for defaultable claims with recovery process

DOI10.1007/S00245-011-9155-8MaRDI QIDQ442563zbMATH OpenOpenAlexFDO

Authors Francesca Biagini, Alessandra Cretarola

Publication date 1 August 2012

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-011-9155-8

zbMATH Keywords

minimal martingale measuredefaultable marketslocal risk-minimizationpayment streampseudo-locally risk-minimizing strategyrandom delivery date

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03)

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• Hedging of Credit Derivatives in Models with Totally Unexpected Default
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• Semi-martingales et grossissement d'une filtration
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Cited in

(14)

• Risk-minimization for life insurance liabilities with basis risk
• Causality between stopped filtrations and some applications
• HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS
• Unit-linked life insurance policies: optimal hedging in partially observable market models
• An optimal portfolio problem in a defaultable market
• Hedging the risk of delayed data in defaultable markets
• Local risk minimization for defaultable markets
• Quadratic hedging methods for defaultable claims
• Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
• The Föllmer-Schweizer decomposition: comparison and description
• A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
• Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times
• Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives
• Optimal portfolio and consumption selection with default risk

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