We consider the mean-variance hedging of a contingent claim H when the discounted price process S is an [image omitted]-valued quasi-left continuous semimartingale with bounded jumps. We relate the variance-optimal martingale measure (VOMM) to a backward semimartingale equation (BSE) and show...

We construct a bond-stock market composed of d stocks and many bonds with jumps driven by general marked point process as well as by an ℝn-valued Wiener process. By composing these tools we introduce the concept of a compatible bond-stock market and give a necessary and sufficient condition...

We consider a financial market in which the discounted price process S is an ℝd-valued semimartingale with bounded jumps, and the variance-optimal martingale measure (VOMM) Qopt is only known to be a signed measure. We give a backward semimartingale equation (BSE) and show that the density...

Backward stochastic Riccati equations are motivated by the solution of general linear quadratic optimal stochastic control problems with random coefficients, and the solution has been open in the general case. One distinguishing difficult feature is that the drift contains a quadratic term of...