We propose an equilibrium framework within which to price financial securities written on non- tradable underlyings such as temperature indices. We analyze a financial market with a finite set of agents whose preferences are described by a convex dynamic risk measure generated by the solution of...

We propose an equilibrium framework within which to price financial securities written on non- tradable underlyings such as temperature indices. We analyze a financial market with a finite set of agents whose preferences are described by a convex dynamic risk measure generated by the solution of...

In this paper, we study a functional fully coupled forward–backward stochastic differential equation (FBSDE). For this functional FBSDE, the classical Lipschitz and monotonicity conditions which guarantee the existence and uniqueness of the solution to FBSDE are no longer applicable. To...

We consider a backward stochastic differential equation in a Markovian framework for the pair of processes (Y,Z), with generator with quadratic growth with respect to Z. Under non-degeneracy assumptions, we prove an analogue of the well-known Bismut–Elworthy formula when the generator has...

We study a class of ergodic BSDEs related to PDEs with Neumann boundary conditions. The randomness of the driver is given by a forward process under weakly dissipative assumptions with an invertible and bounded diffusion matrix. Furthermore, this forward process is reflected in a convex subset...