Quadratic hedging methods for defaultable claims
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In a simple market consisting of the money market account and a risky asset, the authors compare the pricing and the hedging of a defaultable claim under the so-called intensity-based, local risk-minimization and mean-variance hedging approaches. For the first time in the literature, local risk-minimization is applied to defaultable derivatives, in particular for the case of a default put option with random recovery rate.
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Cites work
- A comparison of two quadratic approaches to hedging in incomplete markets
- A guided tour through quadratic hedging approaches
- Changes of numéraire, changes of probability measure and option pricing
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- scientific article; zbMATH DE number 2133105 (Why is no real title available?)
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- Keeping a satellite aloft: two finite fuel stochastic control models
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- The variance-optimal martingale measure for continuous processes
Cited in
(27)- Optimal portfolio and consumption selection with default risk
- Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives
- Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting
- Systematic equity-based credit risk: A CEV model with jump to default
- Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
- Local risk-minimization under the benchmark approach
- Risk-minimization for life insurance liabilities with basis risk
- Enlargement of filtration and predictable representation property for semi-martingales
- Partial hedging for defaultable claims
- Defaultable options in a Markovian intensity model of credit risk
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- An optimal portfolio problem in a defaultable market
- scientific article; zbMATH DE number 2130502 (Why is no real title available?)
- scientific article; zbMATH DE number 2133105 (Why is no real title available?)
- scientific article; zbMATH DE number 2133119 (Why is no real title available?)
- Indifference pricing of defaultable claims
- Local risk minimization for defaultable markets
- Local risk-minimization for defaultable claims with recovery process
- scientific article; zbMATH DE number 2095967 (Why is no real title available?)
- Dual optimization problem on defaultable claims
- CVaR hedging in defaultable jump-diffusion markets
- Hedging the risk of delayed data in defaultable markets
- PDE approach to valuation and hedging of credit derivatives
- Evaluating hybrid products: the interplay between financial and insurance markets
- Mean–variance hedging of contingent claims with random maturity
- A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
- The Föllmer-Schweizer decomposition: comparison and description
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