18 citations · 25 across the 4 of their papers we have counts for
4 papers
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…
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…
Mean-Variance Hedging on uncertain time horizon in a market with a jump
Idris Kharroubi, Thomas Lim, Armand Ngoupeyou
In this work, we study the problem of mean-variance hedging with a random horizon T ^ tau, where T is a deterministic constant and is a jump time of the underlying asset price proc…
Robust utility maximization problem in model with jumps and unbounded claim
Monique Jeanblanc, Anis Matoussi, Armand Ngoupeyou
We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem…