Mean-variance hedging on uncertain time horizon in a market with a jump (Q2441393): Difference between revisions

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+.3693
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+An extension of mean-variance hedging to the discontinuous case
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+Backward stochastic differential equations and integral-partial differential equations
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+The variance-optimal martingale measure for continuous processes
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+Backward Stochastic Differential Equations in Finance
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+Mean-Variance Hedging and Numeraire
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+Utility maximization in incomplete markets
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+Mean-variance hedging via stochastic control and BSDEs for general semimartingales
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+Semi-martingales et grossissement d'une filtration
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+Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
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+Continuous exponential martingales and BMO
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+Backward stochastic differential equations and partial differential equations with quadratic growth.
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+Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
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+Mean-Variance Hedging When There Are Jumps
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+Dynamic programming and mean-variance hedging
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+Approximation pricing and the variance-optimal martingale measure
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