Hedging of defaultable claims in a structural model using a locally risk-minimizing approach

DOI10.1016/j.spa.2014.04.001zbMath1348.60067arXiv1505.03501OpenAlexW2021510951MaRDI QIDQ740187

D. Kharzeev

Publication date: 2 September 2014

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

Full work available at URL: https://arxiv.org/abs/1505.03501

zbMATH Keywords

Lévy processsemimartingalelocal martingalehedging strategyFöllmer-Schweizer decompositionGaltchouk-Kunita-Watanabe decompositionlocal risk-minimizationdefaultable claims

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Generalizations of martingales (60G48) Financial applications of other theories (91G80)

Related Items (6)

LOCALLY RISK-MINIMIZING HEDGING FOR EUROPEAN CONTINGENT CLAIMS WRITTEN ON NON-TRADABLE ASSETS WITH COMMON JUMP RISK ⋮ LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES ⋮ Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models ⋮ Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives ⋮ Hedging the Risk of Delayed Data in Defaultable Markets ⋮ A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets

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