Hedging of defaultable claims in a structural model using a locally risk-minimizing approach (Q740187)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hedging of defaultable claims in a structural model using a locally risk-minimizing approach |
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Hedging of defaultable claims in a structural model using a locally risk-minimizing approach (English)
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2 September 2014
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defaultable claims
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hedging strategy
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local martingale
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semimartingale
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Lévy process
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local risk-minimization
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Föllmer-Schweizer decomposition
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Galtchouk-Kunita-Watanabe decomposition
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