2 papers
math.PR2016
Quadratic Exponential Semimartingales and Application to BSDEs with jumps
Nicole El Karoui, Anis Matoussi, Armand Ngoupeyou
In this paper, we study a class of Quadratic Backward Stochastic Differential Equations (QBSDE in short) with jumps and unbounded terminal condition. We extend the class of quadrat…
q-fin.PR2012
Optimization problem and mean variance hedging on defaultable claims
Stephane Goutte, Armand Ngoupeyou
We study the pricing and the hedging of claim ψ which depends on the default times of two firms A and B. In fact, we assume that, in the market, we can not buy or sell any defaulta…