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Mean variance hedging in a general jump market
Xiong, Dewen; Kohlmann, Michael - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 789-820
Persistent link: https://www.econbiz.de/10008904324
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Mean variance hedging in a general jump model
Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing - In: Applied mathematical finance 17 (2010) 1/2, pp. 29-57
Persistent link: https://www.econbiz.de/10003975266
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The study of dynamics for credit default risk by backward stochastic differential equation method
Tian, Kun; Xiong, Dewen; Yan, Wenchao; Yuan, George Xianzhi - In: International journal of financial engineering 5 (2018) 4, pp. 1-32
Persistent link: https://www.econbiz.de/10012028824
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Neyman-Pearson hedging and dynamic measures of risk
Kohlmann, Michael - 2000
Persistent link: https://www.econbiz.de/10001475180
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(Reflected) backward stochastic differential equations and contingent claims
Kohlmann, Michael - 1999
Persistent link: https://www.econbiz.de/10001387121
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(Reflected) backward stochastic differential equations and contingent claims
Kohlmann, Michael - 1999
We review the relations between adjoints of stochastic control problems with the derivative of the value function, and the latter with the value function of a stopping problem. These results are applied to the pricing of contingent claims.
Persistent link: https://www.econbiz.de/10011544985
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BSDES with stochastic Lipschitz condition
Bender, Christian; Kohlmann, Michael - 2000
Persistent link: https://www.econbiz.de/10001450618
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Backward stochastic differential equations and stochastic controls : a new perspective
Kohlmann, Michael; Zhou, Xun Yu - 1999
Persistent link: https://www.econbiz.de/10001381857
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The informed and uninformed agent's price of a contingent claim
Kohlmann, Michael; Zhou, Xun Yu - 1999
Persistent link: https://www.econbiz.de/10001387122