dc.date.accessioned | 2013-12-19T16:02:20Z | |
dc.date.available | 2013-12-19T16:02:20Z | |
dc.date.created | 2013-12-19T11:29:27Z | |
dc.date.issued | 2013 | |
dc.identifier.uri | http://hdl.handle.net/10852/37936 | |
dc.description.abstract | We consider a backward stochastic di erential equation with jumps (BSDEJ) which is driven by a Brownian motion and a Poisson random measure. We present two candidate-approximations to this BSDEJ and we prove that the solution of each candidateapproximation converges to the solution of the original BSDEJ in a space which we specify. We use this result to investigate in further detail the consequences of the choice of the model to (partial) hedging in incomplete markets in nance. As an application, we consider models in which the small variations in the price dynamics are modeled with a Poisson random measure with in nite activity and models in which these small variations are modeled with a Brownian motion. Using the convergence results on BSDEJs, we show that quadratic hedging strategies are robust towards the choice of the model and we derive an estimation of the model risk. | |
dc.language | EN | |
dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
dc.relation.ispartof | Preprint series: Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | |
dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
dc.rights | © The Author(s) (2013). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
dc.title | ROBUSTNESS OF QUADRATIC HEDGING STRATEGIES IN FINANCE VIA BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH JUMPS | |
dc.type | Research report | |
dc.rights.holder | Copyright 2013 The Author(s) | |
dc.creator.author | Di Nunno, Giulia | |
dc.creator.author | Khedher, Asma | |
dc.creator.author | Vanmaele, Michèle | |
cristin.unitcode | 185,15,13,35 | |
cristin.unitname | Stokastisk analyse, finans, forsikring og risiko | |
cristin.ispublished | true | |
cristin.fulltext | preprint | |
dc.identifier.cristin | 1079202 | |
dc.identifier.pagecount | 32 | |
dc.identifier.urn | URN:NBN:no-40025 | |
dc.type.document | Forskningsrapport | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/37936/1/BSDEs20130517-1.pdf | |