We show how the results on forward-backward SDEs driven by L\'evy processes obtained in our previous paper can be applied to portfolio selection in a L\'evy-type market . Our approach allows to characterize a class L\'evy driven FBSDEs which allows to select an optimal portfolio .
We propose a model for hedging in a market with jumps for a large investor. The dynamics of the stock prices and the value process is governed by forward-backward SDEs driven by Teugels martingales. Unlike known FBSDE market models, ours accounts for jumps in stock prices. Moreover, it allows to find an optimal hedging strategy .
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show how the results on
propose a model for hedging in a market with jumps for a large investor. The dynamics of the stock prices and the value process is governed by
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L\'evy processes obtained in our previous paper can be applied to portfolio selection in a L\'evy-type market . Our approach allows to characterize a class L\'evy driven FBSDEs which allows to select an optimal portfolio
Teugels martingales. Unlike known FBSDE market models, ours accounts for jumps in stock prices. Moreover, it allows to find an optimal hedging strategy