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Titel:

Robustness of quadratic hedging strategies via backward stochastic differential equations

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Di Nunno, G.; Khedher, A.; Vanmaele, M.
Nicht-TUM Koautoren:
ja
Kooperation:
-
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
Zeitschriftentitel:
accepted for publication in Applied Mathematics and Optimization
Journal gelistet in FT50 Ranking:
nein
Jahr:
2014
Seitenangaben Beitrag:
-
Status:
Postprint / reviewed
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Format:
Text
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Interdisziplinarität:
Nein
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