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CVaR hedging in defaultable jump-diffusion markets. (English) Zbl 1479.91409

Karapetyants, Alexey N. (ed.) et al., Operator theory and harmonic analysis. OTHA 2020, Part II – probability-analytical models, methods and applications. Based on the international conference on modern methods, problems and applications of operator theory and harmonic analysis. Cham: Springer. Springer Proc. Math. Stat. 358, 309-333 (2021).
MSC:  91G20 91G05 91G70
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