LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL (Q2947346): Difference between revisions

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+Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes
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+Q4438197
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+BSDEs under partial information and financial applications
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+Markov additive processes. I
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+Markov additive processes. II
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+Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
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+DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS<sup>1</sup>
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+Filtering with discrete state observations
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+Option pricing and Esscher transform under regime switching
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+An application of hidden Markov models to asset allocation problems
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+Option pricing for pure jump processes with Markov switching compensators
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+Markov Processes with Homogeneous Second Component. I
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+Characterization of stochastic processes with conditionally independent increments
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+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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+On Square Integrable Martingales
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+Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model
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+Option hedging for semimartingales
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+RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
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+Pricing participating products under a generalized jump-diffusion model
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+A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
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+https://doi.org/10.1142/s0219024915500338
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+W1190525645
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+Publication:2947346