5 papers
Martingale Representation in Progressively Enlarged Lévy Filtrations
Paolo Di Tella, Hans-Jürgen Engelbert
In this paper we obtain a martingale representation theorem in the progressive enlargement by a random time of the filtration generated by a Lévy pr…
On the Propagation of the Weak Representation Property in Independently Enlarged Filtrations: The General Case
Paolo Di Tella
In this paper we investigate the propagation of the weak representation property (WRP) to an independently enlarged filtration. More precisely, we consider an -semimart…
BSDEs and log-utility maximization for Lévy processes
Paolo Di Tella, Hans-Jürgen Engelbert
In this paper we establish the existence and the uniqueness of the solution of a special class of BSDEs for Lévy processes in the case of a Lipschitz generator of sublinear growth.…
Martingale Representation in the Enlargement of the Filtration Generated by a Point Process
Paolo Di Tella, Monique Jeanblanc
Let be a point process and let denote the filtration generated by . In this paper we study martingale representation theorems in the filtration obt…
Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation
Paolo Di Tella, Martin Haubold, Martin Keller-Ressel
In a financial market model, we consider the variance-optimal semi-static hedging of a given contingent claim, a generalization of the classic variance-optimal hedging. To obtain a…