14h30    Thomas LIM] (ENSIIE Evry).
           
              Mean-variance hedging on uncertain time horizon in a market with a jump.


   Abstract:


In this work, we study the problem of mean-variance hedging with a random horizon T ∧ τ , where T is a deterministic constant and τ is a jump time of the underlying
asset price process. We first formulate this problem as a stochastic control problem and relate it to a system of BSDEs with a jump. We then provide a verification
theorem which gives the optimal strategy for the mean-variance hedging using the solution of the previous system of BSDEs. Finally, we prove that this system of
BSDEs admits a solution via a decomposition approach coming from filtration enlargement theory.

15h30    Pause café et discussions.

16h00   Olivier BOKANOWSKI (Paris VII).
    
           About lookback options: error estimates and numerical approximations.