Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Klebert Kentia"'
Publikováno v:
Springer Proceedings in Mathematics & Statistics ISBN: 9783030222840
We show a concise extension of the monotone stability approach to backward stochastic differential equations (BSDEs) that are jointly driven by a Brownian motion and a random measure of jumps, which could be of infinite activity with a non-determinis
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::673fa445490896ab1070995295c85a1c
https://doi.org/10.1007/978-3-030-22285-7_1
https://doi.org/10.1007/978-3-030-22285-7_1
Autor:
Klebert Kentia, Dirk Becherer
Publikováno v:
Probability, Uncertainty and Quantitative Risk, Vol 2, Iss 1, Pp 1-40 (2017)
We study robust notions of good-deal hedging and valuation under combined uncertainty about the drifts and volatilities of asset prices. Good-deal bounds are determined by a subset of risk-neutral pricing measures such that not only opportunities for
Autor:
Christoph Kühn, Klebert Kentia
Game contingent claims (GCCs) generalize American contingent claims by allowing the writer to recall the option as long as it is not exercised, at the price of paying some penalty. In incomplete markets, an appealing approach is to analyze GCCs like
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f6195616512e929ae5151975e2ad596b
Autor:
Dirk Becherer, Klebert Kentia
We study a notion of good-deal hedging, that corresponds to good-deal valuation for generalized good-deal constraints. Under model uncertainty about the market prices of risk of hedging assets, a robust approach leads to a reduction or even eliminati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d2b01ff06a7158365a15476c71015ade
http://arxiv.org/abs/1607.04488
http://arxiv.org/abs/1607.04488
Autor:
Tonleu, Klebert Kentia
Diese Arbeit beginnt mit einer Analyse von stochastischen Rückwärtsdifferentialgleichungen (BSDEs) mit Sprüngen, getragen von zufälligen Maßen mit ggf. unendlicher Aktivität und zeitlich inhomogenem Kompensator. Unter konkreten, in Anwendungen
Externí odkaz:
http://edoc.hu-berlin.de/18452/18115