Dynamic Conic Finance via Backward Stochastic Difference Equations

DOI10.1137/141002013zbMath1335.91077arXiv1412.6459OpenAlexW2962959639MaRDI QIDQ3456838

Tomasz R. Bielecki, Tao Chen, Igor Cialenco

Publication date: 9 December 2015

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

Full work available at URL: https://arxiv.org/abs/1412.6459

zbMATH Keywords

transaction costs\(g\)-expectationilliquid marketarbitrage free pricingdynamic convex risk measuresdynamic acceptability indexdividend paying securitiesdynamic bid and askdynamic conic finance

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

Solvability of forward–backward stochastic difference equations with finite states ⋮ Star-Shaped Risk Measures ⋮ Acceptability maximization ⋮ Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems ⋮ Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems ⋮ Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ Solvability of general fully coupled forward–backward stochastic difference equations with delay and applications ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time ⋮ A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type ⋮ A novel approach to exponential stability in mean square of stochastic difference systems with delays ⋮ FROM BID-ASK CREDIT DEFAULT SWAP QUOTES TO RISK-NEUTRAL DEFAULT PROBABILITIES USING DISTORTED EXPECTATIONS

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