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Mean-Variance Hedging via Stochastic Control and BSDEs for General Semimartingales

Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; … - National Centre of Competence in Research - Financial … - 2011

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

Persistent link: https://www.econbiz.de/10009486968

Immersion property and credit risk modelling

Jeanblanc, Monique; Cam, Yann Le - In: Optimality and risk - modern trends in mathematical …, (pp. 99-131). 2009

Persistent link: https://www.econbiz.de/10003948445

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

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

finance ; variance-optimal martingale measure …

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

The Φ-Martingale

Vrins, Frédéric; Jeanblanc, Monique - 2015

Persistent link: https://www.econbiz.de/10011289955

On arbitrages arising with honest times

Fontana, Claudio; Jeanblanc, Monique; Song, Shiqi - In: Finance and stochastics 18 (2014) 3, pp. 515-543

Persistent link: https://www.econbiz.de/10010396032

Constructing random times with given survival processes and applications to valuation of credit derivatives

Gapeev, Pavel V.; Jeanblanc, Monique; Li, Libo; … - In: Contemporary quantitative finance : essays in honour of …, (pp. 255-280). 2010

Persistent link: https://www.econbiz.de/10008749243

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

Modeling and valuation of credit risk

Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek - In: Stochastic methods in finance : lectures given at the …, (pp. 27-126). 2004

Persistent link: https://www.econbiz.de/10002526431

Hazard rate for credit risk and hedging defaultable contingent claims

Blanchet-Scalliet, Christophette; Jeanblanc, Monique - In: Finance and stochastics 8 (2004) 1, pp. 145-159

Persistent link: https://www.econbiz.de/10001910889

Conic Martingales from Stochastic Integrals

Vrins, Frédéric D. - 2017

martingale property, but that evolve within given (possibly time-dependent) boundaries. We first review some results about the … martingale property of solution to driftless stochastic differential equations. We then provide a simple way to construct and … tractable. It is shown that up to shifting and rescaling constants, it is the only martingale (with the trivial constant …

Persistent link: https://www.econbiz.de/10012969707