BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk

DOI10.1137/140996239zbMath1414.91381arXiv1411.6368OpenAlexW2404534069MaRDI QIDQ2813078

Francesco Russo, Ismail Laachir

Publication date: 15 June 2016

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.6368

zbMATH Keywords

backward stochastic differential equation (BSDE)martingale problembasis riskquadratic hedgingcádlág martingalesFollmer-Schweitzer decomposition

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Weak Dirichlet processes and generalized martingale problems ⋮ Special weak Dirichlet processes and BSDEs driven by a random measure ⋮ The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures ⋮ Martingale driven BSDEs, PDEs and other related deterministic problems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• BSDEs under partial information and financial applications
• Utility-based hedging and pricing with a nontraded asset for jump processes
• Adapted solution of a backward stochastic differential equation
• Utility indifference valuation for jump risky assets
• Small-time moment asymptotics for Lévy processes
• Variance-optimal hedging for processes with stationary independent increments
• Semigroups of linear operators and applications to partial differential equations
• Approximating random variables by stochastic integrals
• Conjugate convex functions in optimal stochastic control
• Cross hedging with stochastic correlation
• On the robustness of backward stochastic differential equations.
• Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• On the structure of general mean-variance hedging strategies
• Stochastic differential equations, backward SDEs, partial differential equations
• Some parabolic PDEs whose drift is an irregular random noise in space
• Multidimensional diffusion processes.
• Analysis of Fourier Transform Valuation Formulas and Applications
• Hedging Forward Positions: Basis Risk Versus Liquidity Costs
• Variance optimal hedging for continuous time additive processes and applications
• Backward Stochastic Differential Equations Driven By Càdlàg Martingales
• PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS
• Performance of utility-based strategies for hedging basis risk
• Financial Modelling with Jump Processes
• On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process
• GKW representation theorem under restricted information: An application to risk-minimization
• Optimal hedging and parameter uncertainty

This page was built for publication: BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk