18 citations · 21 across the 3 of their papers we have counts for
4 papers
Managing counterparty credit risk via BSDEs
Andrew Lesniewski, Anja Richter
We discuss a general dynamic replication approach to counterparty credit risk modeling. This leads to a fundamental jump-process backward stochastic differential equation (BSDE) fo…
Discrete Time Term Structure Theory and Consistent Recalibration Models
Anja Richter, Josef Teichmann
We develop theory and applications of forward characteristic processes in discrete time following a seminal paper of Jan Kallsen and Paul Krühner. Particular emphasis is placed on…
Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
Anja Richter
Over the past few years quadratic Backward Stochastic Differential Equations (BSDEs) have been a popular field of research. However there are only very few examples where explicit…
Differentiability of quadratic BSDEs generated by continuous martingales
Peter Imkeller, Anthony Réveillac, Anja Richter
In this paper we consider a class of BSDEs with drivers of quadratic growth, on a stochastic basis generated by continuous local martingales. We first derive the Markov property of…