Mean-Variance Hedging Under Multiple Defaults Risk

DOI10.1080/07362994.2015.1038569zbMath1329.60175OpenAlexW1568640577MaRDI QIDQ3194565

Stéphane Goutte, Armand Ngoupeyou, Sébastien Choukroun

Publication date: 20 October 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2015.1038569

zbMATH Keywords

dynamic programmingquadratic backward stochastic differential equationsmean-variance hedgingdefault-density modelling

Mathematics Subject Classification ID

Related Items (3)

An enlargement of filtration formula with applications to multiple non-ordered default times ⋮ Practice-relevant model validation: distributional parameter risk analysis in financial model risk management ⋮ The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims

Cites Work

• Optimal investment with counterparty risk: a default-density model approach
• Mean-variance hedging for general claims
• Continuous exponential martingales and BMO
• On quadratic hedging in continuous time
• An extension of mean-variance hedging to the discontinuous case
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Mean-variance hedging via stochastic control and BSDEs for general semimartingales
• Optimal investment under multiple defaults risk: a BSDE-decomposition approach
• Mean Variance Hedging in a General Jump Model
• Optional splitting formula in a progressively enlarged filtration
• Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market

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