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Simulation of BSDEs by Wiener Chaos Expansion
International audience -
Risk measures for processes and BSDEs
The paper analyzes risk assessment for cash flows in continuous time using the notion of convex risk measures for processes. By combining a decomposition result for... -
A Note on BSDEs with singular coefficients
To appear in "Arbitrage, Credit and Informational Risks", Proceedings of the Sino-French Research Program in Financial Mathematics Conference, Beijing June 2013 -
Optimal investment and pricing under certain market imperfections
In this thesis we deal with different topics in financial mathematics, that are all related to market imperfections and to the fundamental technique of utility...
