Cross hedging with stochastic correlation

DOI10.1007/S00780-010-0148-2MaRDI QIDQ1761431zbMATH OpenOpenAlexFDO

Authors Stefan Ankirchner, Gregor Heyne

Publication date 15 November 2012

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00780-010-0148-2

zbMATH Keywords

correlationincomplete marketsBSDEcross hedginglocal risk minimisation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 5666915 (Why is no real title available?)
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• A guided tour through quadratic hedging approaches
• Backward Stochastic Differential Equations in Finance
• Differentiability of quadratic BSDEs generated by continuous martingales
• Exponential utility indifference valuation in two Brownian settings with stochastic correlation
• Local risk-minimization for multidimensional assets and payment streams
• Optimal hedging with basis risk
• Pricing and hedging of derivatives based on nontradable underlyings
• Probability. Theory and examples.
• The Malliavin Calculus and Related Topics
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION

Cited in

(10)

• BSDEs, càdlàg martingale problems, and orthogonalization under basis risk
• Constructing analytically tractable ensembles of stochastic covariances with an application to financial data
• On Carr and Lee's correlation immunization strategy
• Research on the measure and stripping of correlation risk in incomplete market
• Pricing and hedging of variable annuities with state-dependent fees
• MAXIMIZING THE PROBABILITY OF A PERFECT HEDGE USING AN IMPERFECTLY CORRELATED INSTRUMENT
• Hedging efficiently under correlation
• Differentiability of quadratic BSDEs generated by continuous martingales
• Hedging with residual risk: a BSDE approach
• Stability and hierarchy of quasi-stationary states: financial markets as an example

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