Local risk-minimization for defaultable claims with recovery process

DOI10.1007/s00245-011-9155-8zbMath1244.93152OpenAlexW2024340179MaRDI QIDQ442563

Francesca Biagini, Alessandra Cretarola

Publication date: 1 August 2012

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

Full work available at URL: https://doi.org/10.1007/s00245-011-9155-8

zbMATH Keywords

minimal martingale measuredefaultable marketslocal risk-minimizationpayment streampseudo-locally risk-minimizing strategyrandom delivery date

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03)

Related Items

LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES ⋮ Unit-linked life insurance policies: optimal hedging in partially observable market models ⋮ Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives ⋮ Optimal portfolio and consumption selection with default risk ⋮ Hedging the Risk of Delayed Data in Defaultable Markets ⋮ A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market ⋮ HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS ⋮ Causality between stopped filtrations and some applications ⋮ Quadratic hedging methods for defaultable claims ⋮ The Föllmer-Schweizer decomposition: comparison and description ⋮ An optimal portfolio problem in a defaultable market ⋮ PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS ⋮ Risk-minimization for life insurance liabilities with basis risk

Cites Work

• Semi-martingales et grossissement d'une filtration
• The existence of absolutely continuous local martingale measures
• Progressive enlargement of filtrations with initial times
• Pricing and trading credit default swaps in a hazard process model
• Quadratic hedging methods for defaultable claims
• LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS
• On the minimal martingale measure and the möllmer-schweizer decomposition
• Hedging of Credit Derivatives in Models with Totally Unexpected Default
• Credit risk: Modelling, valuation and hedging
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