A change of measure formula for recursive conditional expectations
From MaRDI portal
Publication:6633866
DOI10.1142/S0219024924500080MaRDI QIDQ6633866
Marco Patacca, Luca Di Persio, Alessandro Gnoatto
Publication date: 6 November 2024
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- Adapted solution of a backward stochastic differential equation
- Forward-backward stochastic differential equations and their applications
- Conjugate convex functions in optimal stochastic control
- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
- A benchmark approach to quantitative finance
- Valuation and Hedging of Contracts with Funding Costs and Collateralization
- BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs
- Lévy Processes and Stochastic Calculus
- Backward Stochastic Differential Equations in Finance
- Arbitrage‐free XVA
- Changes of numéraire, changes of probability measure and option pricing
- Cross Currency Valuation and Hedging in the Multiple Curve Framework
- A Unified Approach to xVA with CSA Discounting and Initial Margin
- Arbitrage Theory in Continuous Time
- Stochastic Calculus and Applications
- Financial markets theory. Equilibrium, efficiency and information
- Numerical methods for backward stochastic differential equations: a survey
This page was built for publication: A change of measure formula for recursive conditional expectations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6633866)
