Mean-Variance Hedging When There Are Jumps
From MaRDI portal
Publication:3427516
DOI10.1137/040610933zbMath1158.60362OpenAlexW2135200315MaRDI QIDQ3427516
Publication date: 20 March 2007
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/2829e28c50b6afeec6a895f0e227b5b464ab5dc7
backward stochastic differential equationsincomplete marketsdefault riskjump diffusiondoubly stochastic Poisson processmean-variance hedgingstochastic intensity
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60)
Related Items (37)
Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver ⋮ On the structure of general mean-variance hedging strategies ⋮ A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus ⋮ Better than pre-committed optimal mean-variance policy in a jump diffusion market ⋮ Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market ⋮ Time-inconsistent linear-quadratic non-zero sum stochastic differential games with random jumps ⋮ Mean-variance hedging via stochastic control and BSDEs for general semimartingales ⋮ Mean-variance asset-liability management problem under non-Markovian regime-switching models ⋮ Stochastic linear-quadratic control with a jump and regime switching on a random horizon ⋮ Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon ⋮ Mean-variance portfolio selection in a complete market with unbounded random coefficients ⋮ Bounds on mean variance hedging in jump diffusion ⋮ BSDEs driven by time-changed Lévy noises and optimal control ⋮ Mean-variance hedging on uncertain time horizon in a market with a jump ⋮ Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market ⋮ Mean-Variance Asset Liability Management with State-Dependent Risk Aversion ⋮ A benchmarking approach to optimal asset allocation for insurers and pension funds ⋮ An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process ⋮ Optimal mean-variance reinsurance in a financial market with stochastic rate of return ⋮ Mean-variance asset-liability management in a non-Markovian regime-switching jump-diffusion market with random horizon ⋮ Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach ⋮ Mean-variance asset-liability management: cointegrated assets and insurance liability ⋮ The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims ⋮ Mutual fund theorem for continuous time markets with random coefficients ⋮ Insiders' hedging in a jump diffusion model ⋮ The Mean-Variance Hedging of a Defaultable Option with Partial Information ⋮ Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model ⋮ A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim ⋮ Pricing and hedging of variable annuities with state-dependent fees ⋮ Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security ⋮ Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection ⋮ $\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE ⋮ Stochastic mortality under measure changes ⋮ Optimal Hedging in Incomplete Markets ⋮ Robust Portfolio Choice and Indifference Valuation ⋮ A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling ⋮ Dynamic asset allocation with loss aversion in a jump-diffusion model
This page was built for publication: Mean-Variance Hedging When There Are Jumps
