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Progressive enlargement of filtrations and Backward SDEs with jumps
This work deals with backward stochastic differential equation (BSDE) with random marked jumps, and their applications to default risk. We show that these BSDEs are... -
Mean-Variance Hedging on uncertain time horizon in a market with a jump
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...
