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Quadratic Hedging Methods for Defaultable Claims
16 references·2 citing·39 second hop
Quadratic Hedging Methods for Defaultable Claims (2007)Quadratic Hedging Methods for Defaultable…Introduction to Stochastic Calculus Applied to Finance (2011)Introduction to Stochastic Ca…Paris-Princeton Lectures on Mathematical Finance 2010 (2010)Paris-Princeton Lectures on M…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Hedging of Defaultable Claims (2004)Hedging of Defaultable ClaimsCredit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Stochastic Differential Equations (2003)Stochastic Differential Equat…Risk-minimizing hedging strategies for insurance payment processes (2001)Risk-minimizing hedging strat…Option Pricing, Interest Rates and Risk Management (2001)Option Pricing, Interest Rate…A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets (2001)A Comparison of Two Quadratic…Stochastic Differential Equations (1998)Stochastic Differential Equat…The Variance-Optimal Martingale Measure for Continuous Processes (1996)The Variance-Optimal Martinga…On the minimal martingale measure and the möllmer-schweizer decomposition (1995)On the minimal martingale mea…Changes of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Local Risk-Minimization for Defaultable Claims with Recovery Process (2011)Local Risk-Minimization for D…The Föllmer–Schweizer decomposition: Comparison and description (2010)The Föllmer–Schweizer decompo…The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Theory of rational option pricing (2005)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Modeling Term Structures of Defaultable Bonds (1999)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Structural versus Reduced‐Form Models: A New Information‐Based Perspective (2012)Calcul Stochastique et Problèmes de Martingales (1979)A general version of the fundamental theorem of asset pricing (1994)Approximation pricing and the variance-optimal martingale measure (1996)The cumulant process and Esscher's change of measure (2002)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)LIBOR and swap market models and measures (1997)Time-changed Lévy processes and option pricing (2003)Martingales and arbitrage in multiperiod securities markets (1979)Option pricing and Esscher transform under regime switching (2005)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Fluctuations of Lévy Processes with Applications (2014)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)A pricing method for options based on average asset values (1990)Do subsidies to commercial R&D reduce market failures? Microeconometric evaluation studies (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)On modelling and pricing weather derivatives (2002)Multiscale Stochastic Volatility Asymptotics (2003)Saving and investing for early retirement: A theoretical analysis☆ (2006)
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References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2003Stochastic Differential Equations2,978 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1998Stochastic Differential Equations714 cited
  • 2011Introduction to Stochastic Calculus Applied to Finance639 cited
  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 1995On the minimal martingale measure and the möllmer-schweizer decomposition321 cited
  • 2001Option Pricing, Interest Rates and Risk Management211 cited
  • 1996The Variance-Optimal Martingale Measure for Continuous Processes192 cited
  • 2010Paris-Princeton Lectures on Mathematical Finance 2010149 cited
  • 2001A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets132 cited
  • 2001Risk-minimizing hedging strategies for insurance payment processes120 cited
  • 2004

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Hedging of Defaultable Claims
105 cited

Cited by

  • 2011Local Risk-Minimization for Defaultable Claims with Recovery Process27 cited
  • 2010The Föllmer–Schweizer decomposition: Comparison and description26 cited