Pages that link to "Item:Q1931322"

The following pages link to Mean-variance hedging via stochastic control and BSDEs for general semimartingales (Q1931322):

Displaying 34 items.

• Quadratic hedging: an actuarial view extended to solvency control (Q362036) (← links)
• Model risk and discretisation of locally risk-minimising strategies (Q730515) (← links)
• Discretisation of FBSDEs driven by càdlàg martingales (Q892339) (← links)
• Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps (Q901242) (← links)
• Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes (Q1666165) (← links)
• Special weak Dirichlet processes and BSDEs driven by a random measure (Q1708976) (← links)
• Existence and uniqueness results for BSDE with jumps: the whole nine yards (Q1722017) (← links)
• Mean-variance portfolio selection under Volterra Heston model (Q2045133) (← links)
• Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire (Q2182639) (← links)
• Mean-variance portfolio selection with correlation risk (Q2252429) (← links)
• The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims (Q2258827) (← links)
• \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps (Q2408993) (← links)
• BSDEs driven by time-changed Lévy noises and optimal control (Q2436795) (← links)
• Mean-variance hedging on uncertain time horizon in a market with a jump (Q2441393) (← links)
• Pricing and hedging of variable annuities with state-dependent fees (Q2513614) (← links)
• A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim (Q2797756) (← links)
• Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises (Q2956066) (← links)
• A simple solution to a continuous-time mean-variance portfolio selection via the mean-variance hedging (Q3121440) (← links)
• Mean-Variance Hedging Under Multiple Defaults Risk (Q3194565) (← links)
• Variance-Optimal Hedging in General Affine Stochastic Volatility Models (Q3566394) (← links)
• A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus (Q4562722) (← links)
• On<i>g</i>−evaluations with domains under jump filtration (Q4607789) (← links)
• Optimal hedging for fund and insurance managers with partially observable investment flows (Q4683056) (← links)
• Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models (Q4987721) (← links)
• A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets (Q4991036) (← links)
• Non-parametric Pricing and Hedging of Exotic Derivatives (Q4994678) (← links)
• Structure Conditions under Progressively Added Information (Q5131241) (← links)
• Making mean-variance hedging implementable in a partially observable market (Q5247228) (← links)
• ON MEAN–VARIANCE HEDGING UNDER PARTIAL OBSERVATIONS AND TERMINAL WEALTH CONSTRAINTS (Q5357516) (← links)
• Utility Maximization in Multivariate Volterra Models (Q5886358) (← links)
• Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model (Q6130338) (← links)
• Bond portfolio optimization with long-range dependent credits (Q6175328) (← links)
• Bounds on mean variance hedging in jump diffusion (Q6185522) (← links)
• Mean–variance hedging of contingent claims with random maturity (Q6187370) (← links)