77 citations · 329 across the 29 of their papers we have counts for
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q-fin.PR2007★ 46 cited
Pricing and hedging of derivatives based on non-tradable underlyings
Stefan Ankirchner, Peter Imkeller, Goncalo dos Reis
This paper is concerned with the study of insurance related derivatives on financial markets that are based on non-tradable underlyings, but are correlated with tradable assets. We…
math.PR2007
Classical and Variational Differentiability of BSDEs with quadratic growth
Stefan Ankirchner, Peter Imkeller, Goncalo Dos Reis
We consider Backward Stochastic Differential Equations (BSDE) with generators that grow quadratically in the control variable. In a more abstract setting, we first allow both the t…