Hedging diffusion processes by local risk minimization with applications to index tracking

DOI10.1016/j.jedc.2006.06.005zbMath1163.91388OpenAlexW2008360394MaRDI QIDQ1027354

Nadima El-Hassan, Oh Kang Kwon, David B. Colwell

Publication date: 1 July 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2006.06.005

zbMATH Keywords

hedgingincomplete marketportfolio selectionindex trackinglocal risk minimizationminimal martingale measure

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)

Related Items (5)

LOCALLY RISK-MINIMIZING HEDGING FOR EUROPEAN CONTINGENT CLAIMS WRITTEN ON NON-TRADABLE ASSETS WITH COMMON JUMP RISK ⋮ Mixed-integer programming approaches for index tracking and enhanced indexation ⋮ Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models ⋮ Dynamic hedging of synthetic CDO tranches with spread risk and default contagion ⋮ Hedging of contingent claims written on non traded assets under Markov-modulated models

Cites Work

• Option hedging for semimartingales
• RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
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