6 papers
Utility maximisation and change of variable formulas for time-changed dynamics
Giulia Di Nunno, Hannes Haferkorn, Asma Khedher +1
In this paper we derive novel change of variable formulas for stochastic integrals w.r.t. a time-changed Brownian motion where we assume that the time-change is a general increasin…
Utility maximisation and time-change
Giulia Di Nunno, Hannes Haferkorn, Asma Khedher +1
We consider the problem of maximising expected utility from terminal wealth in a semimartingale setting, where the semimartingale is written as a sum of a time-changed Brownian mot…
Mortality/longevity Risk-Minimization with or without securitization
Tahir Choulli, Catherine Daveloose, Michèle Vanmaele
This paper addresses the risk-minimization problem, with and without mortality securitization, à la Föllmer-Sondermann for a large class of equity-linked mortality contracts when n…
Pricing of commodity derivatives on processes with memory
Fred Espen Benth, Asma Khedher, Michèle Vanmaele
Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process ξ with…
A martingale representation theorem and valuation of defaultable securities
Tahir Choulli, Catherine Daveloose, Michèle Vanmaele
We consider a market model where there are two levels of information. The public information generated by the financial assets, and a larger flow of information that contains addit…
Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps
Giulia Di Nunno, Asma Khedher, Michele Vanmaele
We consider a backward stochastic differential equation with jumps (BSDEJ) which is driven by a Brownian motion and a Poisson random measure. We present two candidate-approximation…