42 citations · 108 across the 17 of their papers we have counts for
Showing q-fin.MFShow all
2 papers · 1 filter
q-fin.MF2019
Pricing and Hedging Performance on Pegged FX Markets Based on a Regime Switching Model
Samuel Drapeau, Yunbo Zhang
This paper investigates the hedging performance of pegged foreign exchange market in a regime switching (RS) model introduced in a recent paper by Drapeau, Wang and Wang (2019). We…
q-fin.MF2017
Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization
Samuel Drapeau, Peng Luo, Dewen Xiong
We provide a verification and characterization result of optimal maximal sub-solutions of BSDEs in terms of fully coupled forward backward stochastic differential equations. We ill…