Hedging and utility valuation of a defaultable claim driven by Hawkes processes

DOI10.1002/ASMB.2663MaRDI QIDQ6580708zbMATH OpenFDO

Authors Puneet Pasricha, Selvamuthu Dharmaraja, Paola Tardelli

Publication date 29 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.2663

zbMATH Keywords

backward stochastic differential equationsHawkes processesexponential utilityoptimal investmentdefault time

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(2)

• BSDE with jumps when mean reflection is nonlinear
• Dual stochastic descriptions of streamflow dynamics under model ambiguity through a Markovian embedding

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