39 citations · 54 across the 2 of their papers we have counts for
2 papers
math.PR2012★ 39 cited
Mean-variance hedging via stochastic control and BSDEs for general semimartingales
Monique Jeanblanc, Michael Mania, Marina Santacroce +1
We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic co…
math.PR2008★ 15 cited
Default times, non arbitrage conditions and change of probability measures
Delia Coculescu, Monique Jeanblanc, Ashkan Nikeghbali
In this paper we give a financial justification, based on non arbitrage conditions, of the hypothesis in default time modelling. We also show how the hypothesis is affe…