Hedging of defaultable securities under delayed data
Hedging of defaultable securities under delayed data
We investigate a hedging problem of certain defaultable securities assuming that there is a delay in receiving data (i.e. lagged data). From a financial point of view, this indicates that traders are not up to date and do not have full access to the accounting data. In our analysis, different levels of information are distinguished including full market, company’s management, and investors information. We apply filtration expansion theory and compensator techniques to obtain semi-explicit solutions for locally risk minimizing hedging strategies from investors perspective. The results are presented according to the solutions of partial differential equations.
Okhrati, Ramin
e8e0b289-be8c-4e73-aea5-c9835190a54a
July 2017
Okhrati, Ramin
e8e0b289-be8c-4e73-aea5-c9835190a54a
Okhrati, Ramin
(2017)
Hedging of defaultable securities under delayed data.
21st International Congress on Insurance: Mathematics and Economics, , Vienna, Austria.
03 - 04 Jul 2017.
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Conference or Workshop Item
(Paper)
Abstract
We investigate a hedging problem of certain defaultable securities assuming that there is a delay in receiving data (i.e. lagged data). From a financial point of view, this indicates that traders are not up to date and do not have full access to the accounting data. In our analysis, different levels of information are distinguished including full market, company’s management, and investors information. We apply filtration expansion theory and compensator techniques to obtain semi-explicit solutions for locally risk minimizing hedging strategies from investors perspective. The results are presented according to the solutions of partial differential equations.
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Published date: July 2017
Venue - Dates:
21st International Congress on Insurance: Mathematics and Economics, , Vienna, Austria, 2017-07-03 - 2017-07-04
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Local EPrints ID: 412814
URI: http://eprints.soton.ac.uk/id/eprint/412814
PURE UUID: 300cc15f-f748-43a2-b7cc-d0248b4ed580
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Date deposited: 02 Aug 2017 16:30
Last modified: 12 Dec 2021 03:59
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Author:
Ramin Okhrati
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