Add to ORKGIn this thesis, we describe a BSDE approach to hedging with basic risk, useful when dealing with risky assets in incomplete markets. We analyze the theoretic instruments supporting this approach, in particular we prove existence, uniqueness and regularity results for BSDEs in different settings. Finally, we illustrate an application of this approach to an incomplete market, giving an explicit formula for the hedge ratio
THE PURPOSE AND THE RATIONALE (AMAÇ VE GEREKÇE) The common standard pricing methods of financial ass...
This paper provides dynamic minimum-variance hedges for firms in incomplete markets. Our hedges acco...
This paper gives an overview of the results and developments in the area of hedging contingent claim...
Abstract. We present a new approach for positioning, pricing, and hedging in incomplete markets, whi...
In both complete and incomplete markets we consider the problem of fulfillinga financial obligation ...
In this paper, we treat defaultable bond as a contingent claim in incomplete markets. By setting up ...
Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hed...
We provide fully analytical, optimal dynamic hedges in incomplete markets by employing the tradition...
This paper proposes a model-free approach to hedging and pricing in the presence of market imperfect...
In practice the hedging process does not satisfy the assumptions of the Black-Scholes model. Traders...
Diese Arbeit beginnt mit einer Analyse von stochastischen Rückwärtsdifferentialgleichungen (BSDEs) m...
We are motivated by the latest statistical facts that weather directly affects about 20% of the U.S....
In the work of Föllmer and Schweizer [1] a method for hed-ging an European contingent claim in inco...
Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropria...
We present necessary and sufficient conditions on the asset span of incomplete derivative markets for...
THE PURPOSE AND THE RATIONALE (AMAÇ VE GEREKÇE) The common standard pricing methods of financial ass...
This paper provides dynamic minimum-variance hedges for firms in incomplete markets. Our hedges acco...
This paper gives an overview of the results and developments in the area of hedging contingent claim...
Abstract. We present a new approach for positioning, pricing, and hedging in incomplete markets, whi...
In both complete and incomplete markets we consider the problem of fulfillinga financial obligation ...
In this paper, we treat defaultable bond as a contingent claim in incomplete markets. By setting up ...
Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hed...
We provide fully analytical, optimal dynamic hedges in incomplete markets by employing the tradition...
This paper proposes a model-free approach to hedging and pricing in the presence of market imperfect...
In practice the hedging process does not satisfy the assumptions of the Black-Scholes model. Traders...
Diese Arbeit beginnt mit einer Analyse von stochastischen Rückwärtsdifferentialgleichungen (BSDEs) m...
We are motivated by the latest statistical facts that weather directly affects about 20% of the U.S....
In the work of Föllmer and Schweizer [1] a method for hed-ging an European contingent claim in inco...
Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropria...
We present necessary and sufficient conditions on the asset span of incomplete derivative markets for...
THE PURPOSE AND THE RATIONALE (AMAÇ VE GEREKÇE) The common standard pricing methods of financial ass...
This paper provides dynamic minimum-variance hedges for firms in incomplete markets. Our hedges acco...
This paper gives an overview of the results and developments in the area of hedging contingent claim...