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

DOI10.1002/ASMB.2663MaRDI QIDQ6580708FDOQ6580708

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)

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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