93 citations · 436 across the 25 of their papers we have counts for
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q-fin.PR2016
Information uncertainty related to marked random times and optimal investment
Ying Jiao, Idris Kharroubi
We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default t…
q-fin.PR2013
When terminal facelift enforces Delta constraints
Jean-François Chassagneux, Romuald Elie, Idris Kharroubi
This paper deals with the super-replication of non path-dependent European claims under additional convex constraints on the number of shares held in the portfolio. The correspondi…