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Title:

Robustness of quadratic hedging strategies via backward stochastic differential equations

Document type:
Zeitschriftenaufsatz
Author(s):
Di Nunno, G.; Khedher, A.; Vanmaele, M.
Non-TUM Co-author(s):
ja
Cooperation:
-
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
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Interdisciplinarity:
Nein
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