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Document type:
Zeitschriftenaufsatz 
Author(s):
Di Nunno, G.; Khedher, A.; Vanmaele, M. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
Robustness of quadratic hedging strategies via backward stochastic differential equations 
Abstract:
We consider a backward stochastic differential equation with jumps (BSDEJ) which is driven by a Brownian motion and a Poisson random measure. We present two candidate-approximations to this BSDEJ and we prove that the solution of each candidate approximation converges to the solution of the original BSDEJ in a space which we specify. We use this result to investigate in further detail the consequences of the choice of the model to (partial) hedging in incomplete markets in finance. As an applica...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
accepted for publication in Applied Mathematics and Optimization 
Journal listet in FT50 ranking:
nein 
Year:
2014 
Pages contribution:
Status:
Postprint / reviewed 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisciplinarity:
Nein 
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