Quadratic hedging methods for defaultable claims

DOI10.1007/s00245-007-9005-xzbMath1142.91028OpenAlexW2056584511MaRDI QIDQ2480782

Alessandra Cretarola, Francesca Biagini

Publication date: 3 April 2008

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

Full work available at URL: https://doi.org/10.1007/s00245-007-9005-x

zbMATH Keywords

mean-variance hedgingminimal martingale measuredefaultable marketslocal risk-minimizationintensity-based approach

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (16)

Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts ⋮ Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives ⋮ Mean–variance hedging of contingent claims with random maturity ⋮ Optimal portfolio and consumption selection with default risk ⋮ Local risk-minimization for defaultable claims with recovery process ⋮ Hedging the Risk of Delayed Data in Defaultable Markets ⋮ Local risk-minimization under the benchmark approach ⋮ A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market ⋮ Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting ⋮ Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets ⋮ The Föllmer-Schweizer decomposition: comparison and description ⋮ Systematic equity-based credit risk: A CEV model with jump to default ⋮ An optimal portfolio problem in a defaultable market ⋮ Enlargement of filtration and predictable representation property for semi-martingales ⋮ LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS ⋮ Risk-minimization for life insurance liabilities with basis risk

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