Risk minimizing hedging for a partially observed high frequency data model

DOI10.1080/17442500500488316zbMath1156.91362OpenAlexW2006727853MaRDI QIDQ3426316

Claudia Ceci

Publication date: 8 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500500488316

zbMATH Keywords

filteringmarked point processeshigh-frequency datajump-diffusionshedging under restricted informationrisk minimizing hedging strategies

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic models in economics (91B70)

Related Items (19)

Nonlinear Filtering for Jump Diffusion Observations ⋮ Partially informed investors: hedging in an incomplete market with default ⋮ Nonlinear filtering with correlated Lévy noise characterized by copulas ⋮ Filtering with marked point process observations via Poisson chaos expansion ⋮ PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH ⋮ Nonlinear filtering of stochastic differential equations with correlated Lévy noises ⋮ The Föllmer–Schweizer decomposition under incomplete information ⋮ BSDEs under partial information and financial applications ⋮ Utility-based hedging and pricing with a nontraded asset for jump processes ⋮ A BSDE-based approach for the optimal reinsurance problem under partial information ⋮ A partially observed ultra-high-frequency data model: risk-minimizing hedging ⋮ Risk Minimization for a Filtering Micromovement Model of Asset Price ⋮ UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS ⋮ The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness ⋮ GKW representation theorem under restricted information: An application to risk-minimization ⋮ Optimal Investment-consumption for Partially Observed Jump-diffusions ⋮ Stochastic control methods: Hedging in a market described by pure jump processes ⋮ A benchmark approach to risk-minimization under partial information ⋮ Risk-minimizing hedging strategies with restricted information and cost

Cites Work

• Calcul stochastique et problèmes de martingales
• On sequential construction of solutions of stochastic differential equations with jump terms
• Option hedging for semimartingales
• Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
• Risk Minimization with Incomplete Information in a Model for High-Frequency Data
• A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
• RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
• A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
• Unnamed Item

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