Optimal hedging and parameter uncertainty

DOI10.1093/IMAMAN/DPM022MaRDI QIDQ5432706zbMATH OpenOpenAlexFDO

Authors Michael Monoyios

Publication date 18 December 2007

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL https://ora.ox.ac.uk/objects/uuid:409fe842-a15b-4930-891f-8f9dc738b10d

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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(20)

• Pricing and hedging in incomplete markets with model uncertainty
• Good deal hedging and valuation under combined uncertainty about drift and volatility
• Model uncertainty, recalibration, and the emergence of delta-vega hedging
• Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk
• Asymptotic analysis of utility-based hedging strategies for small number of contingent claims
• An optimal combination of risk-return and naive hedging
• Optimal Hedging and Valuation of Nontraded Assets
• BSDEs, càdlàg martingale problems, and orthogonalization under basis risk
• Utility-based valuation and hedging of basis risk with partial information
• scientific article; zbMATH DE number 5802309 (Why is no real title available?)
• Optimal hedging strategies on asymmetric functions
• HEDGING UNDER GAMMA CONSTRAINTS BY OPTIMAL STOPPING AND FACE-LIFTING
• scientific article; zbMATH DE number 4142008 (Why is no real title available?)
• Consumption utility-based pricing and timing of the option to invest with partial information
• Optimal hedging using cointegration
• A machine learning approach to adaptive robust utility maximization and hedging
• scientific article; zbMATH DE number 7064063 (Why is no real title available?)
• PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
• Efficient approximations for utility-based pricing
• Optimal arbitrage under model uncertainty

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