Mean-Variance Hedging When There Are Jumps
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- Mutual fund theorem for continuous time markets with random coefficients
- Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model
- Mean-variance asset-liability management problem under non-Markovian regime-switching models
- Mean-variance asset-liability management in a non-Markovian regime-switching jump-diffusion market with random horizon
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- The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims
- A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
- Dynamic asset allocation with loss aversion in a jump-diffusion model
- On the structure of general mean-variance hedging strategies
- Better than pre-committed optimal mean-variance policy in a jump diffusion market
- BSDEs driven by time-changed Lévy noises and optimal control
- Mean-variance hedging on uncertain time horizon in a market with a jump
- Pricing and hedging of variable annuities with state-dependent fees
- Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
- Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver
- Mean variance hedging in a general jump market
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
- The compatible bond-stock market with jumps
- Stochastic mortality under measure changes
- Mean–variance hedging with random volatility jumps
- scientific article; zbMATH DE number 2133119 (Why is no real title available?)
- Mean-variance hedging under multiple defaults risk
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- $\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE
- Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
- A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus
- The mean-variance hedging in a bond market with jumps
- Optimal hedging in incomplete markets
- Time-inconsistent linear-quadratic non-zero sum stochastic differential games with random jumps
- Robust portfolio choice and indifference valuation
- Hedging problem with stochastic volatility
- Mean-Variance Asset Liability Management with State-Dependent Risk Aversion
- Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach
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- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Stochastic linear-quadratic control with a jump and regime switching on a random horizon
- Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon
- Bounds on mean variance hedging in jump diffusion
- Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
- A benchmarking approach to optimal asset allocation for insurers and pension funds
- An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process
- Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors
- Comparison theorems for multidimensional BSDEs with jumps and applications to constrained stochastic linear-quadratic control
- Optimal mean-variance portfolio selection under regime-switching-induced stock price shocks
- Optimal investment-consumption problem with discontinuous prices and random horizon
- Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps
- Stochastic control methods: Hedging in a market described by pure jump processes
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