英文标题：
《Hedging of defaultable claims in a structural model using a locally
risk-minimizing approach》
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作者：
Ramin Okhrati, Alejandro Balb\\\'as and Jos\\\'e Garrido
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最新提交年份：
2015
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英文摘要：
In the context of a locally risk-minimizing approach, the problem of hedging defaultable claims and their Follmer-Schweizer decompositions are discussed in a structural model. This is done when the underlying process is a finite variation Levy process and the claims pay a predetermined payout at maturity, contingent on no prior default. More precisely, in this particular framework, the locally risk-minimizing approach is carried out when the underlying process has jumps, the derivative is linked to a default event, and the probability measure is not necessarily risk-neutral.
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中文摘要：
在局部风险最小化方法的背景下，在结构模型中讨论了对冲可违约索赔及其Foller-Schweizer分解的问题。当基础过程是有限变化征税过程，且债权在到期时支付预定的支付，前提是之前没有违约时，就可以这样做。更准确地说，在这个特定的框架中，当基础过程发生跳跃，衍生工具与违约事件相关联，并且概率度量不一定是风险中性时，就会执行局部风险最小化方法。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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