Dynamic programming and mean-variance hedging
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- Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model
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- Mean–variance hedging of contingent claims with random maturity
- Continuous-time portfolio choice under monotone mean-variance preferences -- stochastic factor case
- Dynamic mean-risk optimization in a binomial model
- scientific article; zbMATH DE number 2145712 (Why is no real title available?)
- Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
- The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model
- Claim pricing and hedging under market incompleteness and ``mean-variance preferences
- Dynamic programming and mean‐variance hedging in discrete time
- Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
- On Bellman's equations for mean and variance control of a Markov diffusion
- Mean variance hedging in a general jump market
- scientific article; zbMATH DE number 796445 (Why is no real title available?)
- A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
- MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
- \(L^{2}\)-approximating pricing under restricted information
- Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire
- Making mean-variance hedging implementable in a partially observable market
- Mean-variance hedging for stochastic volatility models
- Quantile hedging for guaranteed minimum death benefits
- The pricing of liabilities in an incomplete market using dynamic mean-variance hedging
- Mixed hedging under additive market price information
- Change of filtrations and mean–variance hedging
- Mean-variance hedging for general claims
- Cone-constrained continuous-time Markowitz problems
- scientific article; zbMATH DE number 2062291 (Why is no real title available?)
- Robust mean-variance hedging via \(G\)-expectation
- Option pricing under autoregressive random variance models
- A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets
- Optimal investment strategies with bounded risks, general utilities, and goal achieving
- Hedging electricity swaptions using partial integro-differential equations
- Investment with Sequence Losses in an Uncertain Environment and Mean-Variance Hedging
- Mean-variance hedging for pricing European-type contingent claims with transaction costs.
- The opportunity process for optimal consumption and investment with power utility
- On the structure of general mean-variance hedging strategies
- Mean-variance hedging on uncertain time horizon in a market with a jump
- Mean Variance Hedging in a General Jump Model
- Option pricing via maximization over uncertainty and correction of volatility smile
- The Mean-Variance Hedging of a Defaultable Option with Partial Information
- Optimal robust mean-variance hedging in incomplete financial markets
- The compatible bond-stock market with jumps
- Derivatives pricing viap-optimal martingale measures: some extreme cases
- Variance-optimal martingale measures for diffusion processes with stochastic coefficients
- STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
- On the parabolic equation for portfolio problems
- Approximation of CVaR minimization for hedging under exponential-Lévy models
- Mean-variance hedging in large financial markets
- Mean-variance hedging and numéraire
- On mean-variance hedging of bond options with stochastic risk premium factor
- Quantile hedging for guaranteed minimum death benefits with regime switching
- ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
- Mean-variance portfolio selection based on a generalized BNS stochastic volatility model
- Conservative delta hedging.
- Structure Conditions under Progressively Added Information
- Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes
- Exponential Hedging and Entropic Penalties
- Backward Stochastic PDE and Imperfect Hedging
- The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps
- Backward stochastic partial differential equations related to utility maximization and hedging
- Dynamic programming and mean-variance hedging with partial execution risk
- Pricing European options with stochastic volatility under the minimal entropy martingale measure
- The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims
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