HEDGING BY SEQUENTIAL REGRESSIONS REVISITED

DOI10.1111/j.1467-9965.2009.00381.xzbMath1205.91156OpenAlexW3125387396MaRDI QIDQ3650924

Aleš Černý, Jan Kallsen

Publication date: 7 December 2009

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/3258/1/CernyKallsenMAFI-2007-0115Final.pdf

zbMATH Keywords

hedgingtrading strategyoptionSharpe ratiosequential regressionopportunity-neutral measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (19)

A numerical method for hedging Bermudan options under model uncertainty ⋮ Dynamic Trading with Reference Point Adaptation and Loss Aversion ⋮ INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework ⋮ Quadratic hedging for sequential claims with random weights in discrete time ⋮ Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts ⋮ Pricing Reinsurance Contracts ⋮ Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach ⋮ Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach ⋮ MARKET VALUE MARGIN VIA MEAN–VARIANCE HEDGING ⋮ BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM ⋮ Quadratic hedging schemes for non-Gaussian GARCH models ⋮ Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting ⋮ Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency ⋮ Fair valuation of insurance liability cash-flow streams in continuous time: theory ⋮ The value of a liability cash flow in discrete time subject to capital requirements ⋮ Fair dynamic valuation of insurance liabilities via convex hedging ⋮ A mean-field formulation for the mean-variance control of discrete-time linear systems with multiplicative noises ⋮ Best-estimate claims reserves in incomplete markets

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Option hedging for semimartingales
• On quadratic hedging in continuous time
• An extension of mean-variance hedging to the discontinuous case
• A utility maximization approach to hedging in incomplete markets
• Derivative pricing based on local utility maximization
• On the structure of general mean-variance hedging strategies
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS
• MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
• On Quadratic Cost Criteria for Option Hedging
• Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
• Dynamic programming and mean‐variance hedging in discrete time
• Variance-Optimal Hedging in Discrete Time

This page was built for publication: HEDGING BY SEQUENTIAL REGRESSIONS REVISITED