[图书][B] Quantitative risk management: concepts, techniques and tools-revised edition
This book provides the most comprehensive treatment of the theoretical concepts and
modelling techniques of quantitative risk management. Whether you are a financial risk …
modelling techniques of quantitative risk management. Whether you are a financial risk …
Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
D Becherer - 2006 - projecteuclid.org
We prove results on bounded solutions to backward stochastic equations driven by random
measures. Those bounded BSDE solutions are then applied to solve different stochastic …
measures. Those bounded BSDE solutions are then applied to solve different stochastic …
Dynamic exponential utility indifference valuation
M Mania, M Schweizer - 2005 - projecteuclid.org
We study the dynamics of the exponential utility indifference value process C (B; α) for a
contingent claim B in a semimartingale model with a general continuous filtration. We prove …
contingent claim B in a semimartingale model with a general continuous filtration. We prove …
Rational hedging and valuation of integrated risks under constant absolute risk aversion
D Becherer - Insurance: Mathematics and economics, 2003 - Elsevier
We study a rational valuation and hedging principle for contingent claims which integrate
tradable and non-tradable sources of risk. The principle is based on the preferences of a …
tradable and non-tradable sources of risk. The principle is based on the preferences of a …
Classical solutions to reaction–diffusion systems for hedging problems with interacting Itô and point processes
D Becherer, M Schweizer - 2005 - projecteuclid.org
We use probabilistic methods to study classical solutions for systems of interacting
semilinear parabolic partial differential equations. In a modeling framework for a financial …
semilinear parabolic partial differential equations. In a modeling framework for a financial …
Accounting for risk aversion, vesting, job termination risk and multiple exercises in valuation of employee stock options
T Leung, R Sircar - Mathematical Finance: An International …, 2009 - Wiley Online Library
We present a valuation framework that captures the main characteristics of employee stock
options (ESOs), which financial regulations now require to be expensed in firms' accounting …
options (ESOs), which financial regulations now require to be expensed in firms' accounting …
Penalty method for indifference pricing of American option in a liquidity switching market
In this paper we develop a numerical method for pricing American options under regime-
switching model, whose solutions are option buyer indifference prices. The problem is …
switching model, whose solutions are option buyer indifference prices. The problem is …
Quadratic exponential semimartingales and application to BSDEs with jumps
NE Karoui, A Matoussi, A Ngoupeyou - arXiv preprint arXiv:1603.06191, 2016 - arxiv.org
In this paper, we study a class of Quadratic Backward Stochastic Differential Equations
(QBSDE in short) with jumps and unbounded terminal condition. We extend the class of …
(QBSDE in short) with jumps and unbounded terminal condition. We extend the class of …
Systems of ergodic BSDEs arising in regime switching forward performance processes
We introduce and solve a new type of quadratic backward stochastic differential equation
(BSDE) systems defined in an infinite time horizon, called ergodic BSDE systems. Such …
(BSDE) systems defined in an infinite time horizon, called ergodic BSDE systems. Such …
A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets
FE Benth, KH Karlsen¶ - … An International Journal of probability and …, 2005 - Taylor & Francis
Under general conditions stated in Rheinländer [An entropy approach to the stein/stein
model with correlation. Preprint, 2003, ETH Zürich.], we prove that in a stochastic volatility …
model with correlation. Preprint, 2003, ETH Zürich.], we prove that in a stochastic volatility …