英文标题：
《Hedging in a market with jumps - an FBSDE approach》
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作者：
Evelina Shamarova and Rui S\\\'a Pereira
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最新提交年份：
2017
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英文摘要：
We propose a model for hedging in a market with jumps for a large investor. The dynamics of the stock prices and the value process is governed by forward-backward SDEs driven by Teugels martingales. Unlike known FBSDE market models, ours accounts for jumps in stock prices. Moreover, it allows to find an optimal hedging strategy.
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中文摘要：
我们提出了一个模型，在一个大投资者有跳跃的市场中进行套期保值。股票价格和价值过程的动态由Teugels鞅驱动的前后向SDE控制。与已知的FBSDE市场模型不同，我们的模型解释了股价的上涨。此外，它允许找到一个最佳的对冲策略。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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