Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities

DOI10.1137/S0363012903423168MaRDI QIDQ4652577zbMATH OpenOpenAlexFDO

Authors Michael Kirch, Wolfgang J. Runggaldier

Publication date 28 February 2005

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0363012903423168

zbMATH Keywords

Bayesian approachefficient hedginggeometric Poisson processincomplete informationincomplete marketspiecewise deterministic control problems

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20)

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Cited in

(22)

• Efficient hedging currency options in fractional Brownian motion model with jumps
• Portfolio optimization in discontinuous markets under incomplete information
• A benchmark approach to portfolio optimization under partial information
• Integer-valued Lévy processes and low latency financial econometrics
• Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks
• A Model with Interacting Assets Driven by Poisson Processes
• Nonlinear Filtering for Markov Systems with Delayed Observations
• Duality in a Problem of Static Partial Hedging under Convex Constraints
• Option pricing and hedge portfolios for poisson progresses
• Computing efficient hedging strategies in discontinuous market models
• EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
• Partial hedging in financial markets with a large agent
• Utility-based hedging and pricing with a nontraded asset for jump processes
• Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model
• Optimal control of partially observable piecewise deterministic Markov processes
• The efficient hedging problem for American options
• m-Double Poisson Lévy markets
• PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH
• Utility maximization in a pure jump model with partial observation
• On optimal investment in a reinsurance context with a point process market model
• MDP algorithms for portfolio optimization problems in pure jump markets
• Stochastic control methods: Hedging in a market described by pure jump processes

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