Mean-variance hedging in continuous time
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- On quadratic hedging in continuous time
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- Construction of a mean-square optimal hedge with limited investment
- Mean-variance hedging for discontinuous semimartingales.
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- Linear quadratic mean-field-game of backward stochastic differential systems
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- On the risk management of demand deposits: quadratic hedging of interest rate margins
- Optimal bitcoin trading with inverse futures
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- Backward stochastic partial differential equations related to utility maximization and hedging
- A stochastic maximum principle for linear quadratic problem with nonconvex control domain
- Portfolio theory for squared returns correlated across time
- Optimal hedging with basis risk under mean-variance criterion
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- On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices
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- A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
- Asymptotic option price with bounded expected loss
- A one-factor conditionally linear commodity pricing model under partial information
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- Quadratic hedging for sequential claims with random weights in discrete time
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
- Mean-variance portfolio selection based on a generalized BNS stochastic volatility model
- Estimating residual hedging risk with least-squares Monte Carlo
- Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises
- Sensitivity results in stochastic optimal control: a Lagrangian perspective
- Risk-minimizing pricing and hedging foreign currency options under regime-switching jump-diffusion models
- VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING
- Management of catastrophic risks considering the existence of early warning systems
- Explicit solutions to some optimal variance stopping problems
- Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
- Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
- Mean-variance hedging under stochastic interests
- MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
- ON THE PROFIT AND LOSS DISTRIBUTION OF DYNAMIC HEDGING STRATEGIES
- MEAN-VARIANCE HEDGING FOR PARTIALLY OBSERVED DRIFT PROCESSES
- Mean-variance portfolio selection with margin requirements
- Mean Variance Hedging in a General Jump Model
- Bankruptcy in long-term investments
- Mean-variance hedging with uncertain trade execution
- Mean-variance hedging with oil futures
- Properties of optimal smooth functions in additive models for hedging multivariate derivatives
- Quantile hedging for guaranteed minimum death benefits with regime switching
- Mean-variance hedging in continuous-time with stochastic interest rate
- Pricing and hedging basis risk under no good deal assumption
- Backward Stochastic PDE and Imperfect Hedging
- Continuous-time portfolio optimization under terminal wealth constraints
- Multiperiod mean-variance efficient portfolios with endogenous liabilities
- A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
- Pricing and hedging performance on pegged FX markets based on a regime switching model
- Non-parametric pricing and hedging of exotic derivatives
- Option pricing under autoregressive random variance models
- Pricing weather derivatives using the indifference pricing approach
- Continuous time mean-variance-utility portfolio problem and its equilibrium strategy
- Backward Stackelberg differential game with constraints: a mixed terminal-perturbation and linear-quadratic approach
- Structure Conditions under Progressively Added Information
- Continuous-time mean-variance portfolio optimization in a jump-diffusion market
- Managing risk with short-term futures contracts
- Mean-variance efficiency with extended CIR interest rates
- Change of filtrations and mean–variance hedging
- Optimality conditions in linear quadratic problems with random coefficients and applications
- Optimal investment strategies with bounded risks, general utilities, and goal achieving
- On optimal portfolio choice under stochastic interest rates
- Dynamic asset allocation with mean variance preferences and a solvency constraint
- Mixed hedging under additive market price information
- A minimum principle for stochastic optimal control problem with interval cost function
- Linear-quadratic-Gaussian mean-field controls of social optima
- Mean-variance portfolio selection under no-shorting rules: a BSDE approach
- Mean-variance hedging and forward-backward stochastic differential filtering equations
- Efficient approximations for utility-based pricing
- Goal achieving probabilities of cone-constrained mean-variance portfolios
- Mean-variance hedging with basis risk
- Quantile hedging for guaranteed minimum death benefits
- Financial finance
- Hedging electricity swaptions using partial integro-differential equations
- A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
- Continuous-time optimal investment with portfolio constraints: a reinforcement learning approach
- Continuous-time Markowitz's mean-variance model under different borrowing and saving rates
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