Abstract and 1. Introduction

2. Financial Market Model and Worst-Case Optimization Problem

3. Solution to the Post-Crash Problem

4. Solution to the Pre-Crash Problem

5. A BSDE Characterization of Indifferences Strategies

6. The Markovian Case

7. Numerical Experiments

Acknowledgments and References

Appendix A. Proofs from Section 3

Appendix B. Proofs of BASDE Results from Section 5

Appendix C. Proofs of (CIR) Results from Section 6

7. Numerical Experiments

7.1. Numerics for the Bates and Heston model. The first examples we will show here, calculated using methods from the previous section, are variations of the Bates and Heston model with different activities of jumps. All models rely on the same samples of a CIR process, computed in 1000 time steps using distributional properties (exact simulation)

Authors:

(1) Sascha Desmettre;

(2) Sebastian Merkel;

(3) Annalena Mickel;

(4) Alexander Steinicke.

This paper is available on arxiv under CC BY 4.0 DEED license.