Pages that link to "Item:Q997954"

The following pages link to Variance-optimal hedging for processes with stationary independent increments (Q997954):

Displaying 46 items.

• Variance-optimal hedging for target volatility options (Q380555) (← links)
• On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps (Q535466) (← links)
• Model risk and discretisation of locally risk-minimising strategies (Q730515) (← links)
• Quadratic hedging in affine stochastic volatility models (Q836036) (← links)
• Quantization causes waves: smooth finitely computable functions are affine (Q895585) (← links)
• Robustness of quadratic hedging strategies in finance via Fourier transforms (Q898933) (← links)
• Explicit formulas for the minimal variance hedging strategy in a martingale case (Q965780) (← links)
• Variance-optimal hedging for processes with stationary independent increments (Q997954) (← links)
• Asymptotic analysis of hedging errors in models with jumps (Q1019621) (← links)
• Portfolio management with benchmark related incentives under mean reverting processes (Q1621923) (← links)
• Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes (Q1666165) (← links)
• Mean-variance hedging for discontinuous semimartingales. (Q1812496) (← links)
• Approximation of CVaR minimization for hedging under exponential-Lévy models (Q2012597) (← links)
• Simplified stochastic calculus with applications in economics and finance (Q2030297) (← links)
• Asymptotic power utility-based pricing and hedging (Q2257041) (← links)
• Delta hedging in discrete time under stochastic interest rate (Q2349604) (← links)
• On the structure of general mean-variance hedging strategies (Q2373572) (← links)
• Model uncertainty, recalibration, and the emergence of delta-vega hedging (Q2412385) (← links)
• Hedging strategies for discretely monitored Asian options under Lévy processes (Q2438429) (← links)
• Asymptotically optimal discretization of hedging strategies with jumps (Q2454402) (← links)
• Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors (Q2633877) (← links)
• A discrete-time hedging framework with multiple factors and fat tails: on what matters (Q2682956) (← links)
• Analysis of Fourier Transform Valuation Formulas and Applications (Q2786205) (← links)
• BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk (Q2813078) (← links)
• Variance optimal hedging for continuous time additive processes and applications (Q2875261) (← links)
• A comprehensive mathematical approach to exotic option pricing (Q2910830) (← links)
• Variance-Optimal Hedging for Time-Changed Lévy Processes (Q3004473) (← links)
• FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (Q3166714) (← links)
• MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION (Q3521286) (← links)
• Variance-Optimal Hedging in General Affine Stochastic Volatility Models (Q3566394) (← links)
• Geometric Asian option pricing in general affine stochastic volatility models with jumps (Q4555113) (← links)
• Approximate pricing of swaptions in affine and quadratic models (Q4555143) (← 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)
• Evaluating discrete dynamic strategies in affine models (Q4683013) (← links)
• On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process (Q4916404) (← links)
• Optimal Hedging in Incomplete Markets (Q4994350) (← links)
• Non-parametric Pricing and Hedging of Exotic Derivatives (Q4994678) (← links)
• Hedging error estimate of the american put option problem in jump-diffusion processes (Q5024445) (← links)
• Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation (Q5235053) (← links)
• Hedging strategies for energy derivatives (Q5247229) (← links)
• On Suboptimality of Delta Hedging for Asian Options (Q5258450) (← links)
• ON MEAN–VARIANCE HEDGING UNDER PARTIAL OBSERVATIONS AND TERMINAL WEALTH CONSTRAINTS (Q5357516) (← links)
• On the performance of delta hedging strategies in exponential Lévy models (Q5397451) (← links)
• GKW representation theorem under restricted information: An application to risk-minimization (Q5417124) (← links)
• VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS (Q5488974) (← links)