Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Optimization problem and mean variance hedging on defaultable claims   We study the pricing and the hedging of claim {\psi} which depends on the
default times of two firms A and B. In fact, we assume that, in the market, we
can not buy or sell any defaultable bond of the firm B but we can only trade
defaultable bond of the firm A. Our aim is then to find the best price and
hedging of {\psi} using only bond of the firm A. Hence, we solve this problem
in two cases: firstly in a Markov framework using indifference price and
solving a system of Hamilton-Jacobi-Bellman equations, secondly, in a more
general framework, using the mean variance hedging approach and solving
backward stochastic differential equations (BSDE).

25
The categories of this paper are: patt-sol
16
The categories of this paper are: stat
21
The categories of this paper are: adap-org
12
The categories of this paper are: nucl-th
4
The categories of this paper are: cond-mat
34
The categories of this paper are: chem-ph
20
The categories of this paper are: acc-phys
11
The categories of this paper are: hep-lat
18
The categories of this paper are: econ
31
The categories of this paper are: ao-sci
22
The categories of this paper are: chao-dyn
19
The categories of this paper are: eess
33
The categories of this paper are: plasm-ph
32
The categories of this paper are: atom-ph
23
The categories of this paper are: solv-int
26
The categories of this paper are: bayes-an