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ArticleQuadratic Hedging Methods for Defaultable Claims

Francesca Biagini2007

Article2007

Quadratic Hedging Methods for Defaultable Claims

Francesca Biagini · Alessandra Cretarola

32 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Risk and Portfolio Optimization Probability and Risk Models

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References

2005Stochastic Integration and Differential Equations 2003Stochastic Differential Equations 1990Stochastic Integration and Differential Equations 2004Credit Risk: Modeling, Valuation and Hedging 1995Changes of numéraire, changes of probability measure and option pricing 1990Hedging of contingent claims under incomplete information 1998Stochastic Differential Equations 2011Introduction to Stochastic Calculus Applied to Finance

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2011Local Risk-Minimization for Defaultable Claims with Recovery Process 2010The Föllmer–Schweizer decomposition: Comparison and description

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2009LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETSarticle · 14 shared references 2011Local Risk-Minimization for Defaultable Claims with Recovery Processarticle · 9 shared references 2006Optimal Control and Hedging of Operations in the Presence of Financial Marketsarticle · 6 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 5 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 5 shared references 2004Fast deterministic pricing of options on Lévy driven assetsarticle · 5 shared references

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Year2007

Typearticle

Published2007-08-28

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations32

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00245-007-9005-x

openalex_workW2056584511

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