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Mean-variance hedging via stochastic control and BSDEs for general semimartingales

Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; … - 2012 - This version: 4.6.2012

We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic control problem has a quadratic structure, we characterise its three coefficient processes as solutions of...

Persistent link: https://www.econbiz.de/10009558490

Backward stochastic PDE and imperfect hedging

Mania, Michael; Tevzadze, Revaz - In: International journal of theoretical and applied finance 6 (2003) 7, pp. 663-692

Persistent link: https://www.econbiz.de/10001820866

Risky options simplified

Schweizer, Martin - In: International journal of theoretical and applied finance 2 (1999) 1, pp. 59-82

Persistent link: https://www.econbiz.de/10001372090

Pricing and filtering in a two-dimensional dividend switching model

Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1001-1017

Persistent link: https://www.econbiz.de/10008906248

Pricing of contingent claims in a two-dimensional model with random dividends

Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 12 (2009) 8, pp. 1091-1104

Persistent link: https://www.econbiz.de/10003946574

Informationally dynamized Gaussian copula

Crépey, S.; Jeanblanc, Monique; Wu, Dong Li - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10009748717

Valuation and hedging of CDS counterparty exposure in a Markov copula model

Bielecki, Tomasz R.; Crépey, S.; Jeanblanc, Monique; … - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10009562148

Role of information in pricing default-sensitive contingent claims

Jeanblanc, Monique; Leniec, Marta - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10011403184

Utility maximization with random horizon : a BSDE approach

Jeanblanc, Monique; Mastrolia, Thibaut; Possamai͏̈, Dylan - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-43

Persistent link: https://www.econbiz.de/10011404177

Partial information and hazard process

Jeanblanc, Monique; Valchev, Stoyan - In: International journal of theoretical and applied finance 8 (2005) 6, pp. 807-838

Persistent link: https://www.econbiz.de/10003133887