We study the exponential utility indierence value h for a contingentclaim H in an incomplete market driven by two Brownian motions.The claim H depends on a nontradable asset variably correlated withthe traded asset available for hedging. We provide an explicit se-quence that converges to h,...

We consider backward stochastic dierential equations (BSDEs) witha particular quadratic generator and study the behaviour of their solu-tions when the probability measure is changed, the ltration is shrunk,or the underlying probability space is transformed.[...]

We study the exponential utility indifference valuation of a contingentclaim H when asset prices are given by a general semimartingale S. Under mildassumptions on H and S, we prove that a no-arbitrage type condition is fulfilled ifand only if H has a certain representation. In this case, the...