Utility–indifference hedging and valuation via reaction–diffusion systems

By Dirk Becherer. Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences, 2004

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Dynamic exponential utility indifference valuation (2005, background): “In view of Proposition 4, we might call B 7→Ct(B;α) a convex monetary utility functional from L∞(FT ) to L ∞(Ft), because the mapping B 7→Ct(−B;α) satisfies the obvious generalizations of the axioms for a convex measure of risk as introduced in [13]; see also [5] for such a suggestion.”
Minimal Entropy Martingale Measure (2010, background): “This topic has first been studied in [4], [58], [59], [64]; later work has examined intertemporally dynamic extensions ([5], [51]), descriptions via BSDEs in specific models ([6], [51]), extensions to more general payoff structures ([38], [47], [48], [61]), etc.”
Dynamic hedging of synthetic CDO tranches with spread risk and default contagion (2010, background): “There are a number of alternative concepts for hedging in incomplete markets including local risk-minimization (Föllmer & Schweizer (1991)); variance-minimizing hedging (see for instance Schweizer (2001)); superhedging (see for instance El Karoui & Quenez (1995)); and finally utility-based hedging (”
Bounded solutions to backward SDE's with jumps for utility optimization and indifference hedging (2006, background): “In the latter aspect, this goes beyond the results of [3], even for the Markovian case.”