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We prove the existence of bounded solutions of quadratic backward SDEs with jumps, using a direct fixed point approach as in Tevzadze [35]. Under an additional standard assumption, we prove a uniquene...
In this paper, we follow the study of second order BSDEs with jumps started in our accompanying paper [17]. We prove existence of these equations bya direct method,thus providing complete wellposednes...
We analyse the behaviour of the implied volatility smile for options close to expiry in the exponential Levy class of asset price models with jumps. We introduce a new renormalisation of the strike v...
We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using the Hamilton-Jacobi-Bellman approach, the value f...

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