Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps

DOI10.1007/s00245-014-9283-zzbMath1329.60177arXiv1312.5115OpenAlexW2051212842MaRDI QIDQ901242

Asma Khedher, Michèle Vanmaele, Giulia Di Nunno

Publication date: 23 December 2015

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

Full work available at URL: https://arxiv.org/abs/1312.5115

zbMATH Keywords

robustnessBrownian motionbackward stochastic differential equationsPoisson random measurejump diffusionsquadratic hedging strategies

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Financial applications of other theories (91G80) Random measures (60G57) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

Approximations of stochastic partial differential equations, Discretisation of FBSDEs driven by càdlàg martingales, Robust mean-variance hedging via \(G\)-expectation, Robustness of quadratic hedging strategies in finance via Fourier transforms, Model risk and discretisation of locally risk-minimising strategies, Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps

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