Pages that link to "Item:Q2373572"
From MaRDI portal
The following pages link to On the structure of general mean-variance hedging strategies (Q2373572):
Displaying 50 items.
- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect (Q252930) (← links)
- A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility (Q274837) (← links)
- Separation results for multi-product inventory hedging problems (Q286002) (← links)
- Mean-variance hedging with oil futures (Q377447) (← links)
- Dynamic programming and mean-variance hedging with partial execution risk (Q836034) (← links)
- Quadratic hedging in affine stochastic volatility models (Q836036) (← links)
- \(L^{2}\)-approximating pricing under restricted information (Q985719) (← links)
- Optimal investment for an insurer: the martingale approach (Q995514) (← links)
- Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes (Q1666165) (← links)
- Mean-variance hedging via stochastic control and BSDEs for general semimartingales (Q1931322) (← links)
- The opportunity process for optimal consumption and investment with power utility (Q1932536) (← links)
- Cone-constrained continuous-time Markowitz problems (Q1948703) (← links)
- Quadratic hedging schemes for non-Gaussian GARCH models (Q1994523) (← links)
- Sensitivity of optimal consumption streams (Q2000136) (← links)
- Mean-variance hedging in the presence of estimation risk (Q2059297) (← links)
- Convolutional neural network based simulation and analysis for backward stochastic partial differential equations (Q2159857) (← links)
- Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire (Q2182639) (← links)
- Asymptotic power utility-based pricing and hedging (Q2257041) (← links)
- Complete markets do not allow free cash flow streams (Q2350932) (← links)
- Portfolios and risk premia for the long run (Q2428051) (← links)
- The Bellman equation for power utility maximization with semimartingales (Q2428054) (← links)
- Asymptotically optimal discretization of hedging strategies with jumps (Q2454402) (← links)
- Stochastic exponentials and logarithms on stochastic intervals. A survey (Q2633837) (← links)
- A note on monotone mean-variance preferences for continuous processes (Q2661487) (← links)
- Quadratic hedging for sequential claims with random weights in discrete time (Q2661622) (← links)
- Nash equilibria for relative investors via no-arbitrage arguments (Q2699026) (← links)
- MEAN VARIANCE HEDGING IN A GENERAL JUMP MARKET (Q2786037) (← links)
- BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk (Q2813078) (← links)
- MULTIPLICATIVE APPROXIMATION OF WEALTH PROCESSES INVOLVING NO-SHORT-SALES STRATEGIES VIA SIMPLE TRADING (Q2847245) (← links)
- Minimal martingale measure on a finite probability space (Q2849242) (← links)
- Variance optimal hedging for continuous time additive processes and applications (Q2875261) (← links)
- Mean–variance portfolio selection based on a generalized BNS stochastic volatility model (Q2885567) (← links)
- TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS (Q3100991) (← links)
- Stochastic mortality under measure changes (Q3103210) (← links)
- Optimal hedging strategies on asymmetric functions (Q3400022) (← links)
- Mean Variance Hedging in a General Jump Model (Q3565098) (← links)
- Variance-Optimal Hedging in General Affine Stochastic Volatility Models (Q3566394) (← links)
- UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3580219) (← links)
- $\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE (Q3621564) (← links)
- HEDGING BY SEQUENTIAL REGRESSIONS REVISITED (Q3650924) (← links)
- A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus (Q4562722) (← links)
- Approximate indifference pricing in exponential Lévy models (Q4585675) (← links)
- BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM (Q4906533) (← links)
- The Mean-Variance Hedging in a Bond Market with Jumps (Q4932832) (← links)
- Optimal Hedging in Incomplete Markets (Q4994350) (← links)
- Structure Conditions under Progressively Added Information (Q5131241) (← links)
- Mean-Variance Portfolio Selection for Partially Observed Point Processes (Q5136123) (← links)
- Hedging strategies for energy derivatives (Q5247229) (← links)
- THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS (Q5283400) (← links)
- Optimal hedging in discrete time (Q5397419) (← links)
