The use of BSDEs to characterize the mean–variance hedging problem and the variance optimal martingale measure for defaultable claims
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DOI: 10.1016/j.spa.2014.10.017
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Other versions of this item:
- Goutte, Stéphane & Ngoupeyou, Armand, 2015. "The use of BSDEs to characterize the mean–variance hedging problem and the variance optimal martingale measure for defaultable claims," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1323-1351.
References listed on IDEAS
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- El Karoui, Nicole & Jeanblanc, Monique & Jiao, Ying, 2010. "What happens after a default: The conditional density approach," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1011-1032, July.
Citations
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Cited by:
- Abid, Ilyes & Dhaoui, Abderrazak & Goutte, Stéphane & Guesmi, Khaled, 2019.
"Contagion and bond pricing: The case of the ASEAN region,"
Research in International Business and Finance, Elsevier, vol. 47(C), pages 371-385.
- Ilyes Abid & Abderrazak Dhaoui & Stéphane Goutte & Khaled Guesmi, 2019. "Contagion and bond pricing: The case of the ASEAN region," Post-Print halshs-02148928, HAL.
- Tetsuya Ishikawa & Scott Robertson, 2017. "Optimal Investment and Pricing in the Presence of Defaults," Papers 1703.00062, arXiv.org.
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