BSDEs under partial information and financial applications
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DOI: 10.1016/j.spa.2014.03.003
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References listed on IDEAS
- Claudia Ceci, 2012. "Utility Maximization With Intermediate Consumption Under Restricted Information For Jump Market Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(06), pages 1-34.
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Cited by:
- Martin Schweizer & Danijel Zivoi & Mario Šikić, 2018. "Dynamic Mean–Variance Optimization Problems With Deterministic Information," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-38, March.
- Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra, 2015.
"Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization,"
Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 47-60.
- Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2014. "Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization," Papers 1406.6902, arXiv.org.
- Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra, 2014.
"A benchmark approach to risk-minimization under partial information,"
Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 129-146.
- Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2013. "A Benchmark Approach to Risk-Minimization under Partial Information," Papers 1307.6036, arXiv.org.
- Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2015. "The F\"ollmer-Schweizer decomposition under incomplete information," Papers 1511.05465, arXiv.org, revised Mar 2016.
- Yao, Song, 2017. "Lp solutions of backward stochastic differential equations with jumps," Stochastic Processes and their Applications, Elsevier, vol. 127(11), pages 3465-3511.
- Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra, 2017. "Unit-linked life insurance policies: Optimal hedging in partially observable market models," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 149-163.
- Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2016. "Unit-linked life insurance policies: optimal hedging in partially observable market models," Papers 1608.07226, arXiv.org, revised Dec 2016.
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Keywords
Backward stochastic differential equations; Partial information; Föllmer–Schweizer decomposition; Risk-minimization;All these keywords.
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