scientific article; zbMATH DE number 797363

MaRDI QIDQ4848523zbMATH OpenFDO

Authors Rainer Buckdahn

Publication date 25 October 1995

zbMATH Keywords

backward stochastic differential equationhedge contingent claimsincomplete model of a financial marketlocally risk-minimizing trading strategyMarkovian model of a financial market

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)

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Cited in

(12)

• Hedging options for a large investor and forward-backward SDE's
• BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets
• Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets
• Pricing and hedging with globally and instantaneously vanishing risk
• scientific article; zbMATH DE number 5375477 (Why is no real title available?)
• Backward stochastic differential equations approach to hedging, option pricing, and insurance problems
• scientific article; zbMATH DE number 2159350 (Why is no real title available?)
• Backward Stochastic PDE and Imperfect Hedging
• Continuous-time hedging under complete market by BSDEs
• Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options
• Backward stochastic differential equation on hedging American contingent claims
• Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps

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