Mean Variance Hedging in a General Jump Model
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Cites work
- A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow
- A stochastic linear-quadratic problem with Lévy processes and its application to finance
- An extension of mean-variance hedging to the discontinuous case
- Approximation pricing and the variance-optimal martingale measure
- Calcul stochastique et problèmes de martingales
- Dynamic programming and mean-variance hedging
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 2220058 (Why is no real title available?)
- Mean-variance hedging and numéraire
- Mean-Variance Hedging and Stochastic Control: Beyond the Brownian Setting
- Mean-variance hedging for general claims
- Mean-variance hedging in continuous time
- Minimal \(f^q\)-Martingale measures for exponential Lévy processes
- MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
- Minimal Hellinger martingale measures of order \(q\)
- Minimal martingale measures for jump diffusion processes
- MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE
- Multidimensional Backward Stochastic Riccati Equations and Applications
- On L^2-projections on a space of stochastic integrals
- On \(q\)-optimal martingale measures in exponential Lévy models
- On the structure of general mean-variance hedging strategies
- Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach
- Residual risks and hedging strategies in Markovian markets
- Semimartingale Models of Stochastic Optimal Control, with Applications to Double Martingales
- Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
- The Mean-Variance Hedging of a Defaultable Option with Partial Information
- The minimal entropy martingale measures for geometric Lévy processes
- The variance-optimal martingale measure for continuous processes
Cited in
(26)- Mean-variance hedging for general claims
- Mean-variance hedging for continuous processes: New proofs and examples
- Quadratic hedging for asset derivatives with discrete stochastic dividends.
- An extension of mean-variance hedging to the discontinuous case
- Mean-variance hedging via stochastic control and BSDEs for general semimartingales
- The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims
- 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 hedging in a general jump market
- Variance optimal hedging for continuous time additive processes and applications
- Jump bond markets some steps towards general models in applications to hedging and utility problems
- The compatible bond-stock market with jumps
- Mean–variance hedging with random volatility jumps
- Mean-variance hedging under multiple defaults risk
- Mean-Variance Hedging When There Are Jumps
- A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus
- Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints
- Mean-variance hedging in the discontinuous case
- The mean-variance hedging in a bond market with jumps
- Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation
- Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps
- Variance-Minimizing Hedging in a Model with Jumps at Deterministic Times
- SOME REMARKS ON MEAN-VARIANCE HEDGING FOR DISCONTINUOUS ASSET PRICE PROCESSES
- Bounds on mean variance hedging in jump diffusion
- Mean–variance hedging of contingent claims with random maturity
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