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Journal Articles Stochastic Analysis and Applications Year : 2015

Mean-variance hedging under multiple defaults risk

Sebastien Choukroun
  • Function : Author
  • PersonId : 928262
Laboratoire de Probabilités et Modèles Aléatoires
Stéphane Goutte
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  • PersonId : 950817
Laboratoire d'Economie Dionysien
Armand Ngoupeyou
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  • PersonId : 910660
Laboratoire de Probabilités et Modèles Aléatoires

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https://hal-univ-paris8.archives-ouvertes.fr/hal-02879243

Submitted on : Tuesday, June 23, 2020-4:14:05 PM

Last modification on : Friday, March 24, 2023-2:53:18 PM

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hal-02879243 , version 1 (23-06-2020)

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  • HAL Id : hal-02879243 , version 1

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Sebastien Choukroun, Stéphane Goutte, Armand Ngoupeyou. Mean-variance hedging under multiple defaults risk. Stochastic Analysis and Applications, 2015, 33 (5), pp.757-791. ⟨hal-02879243⟩

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