Local risk-minimization under the benchmark approach
From MaRDI portal
Publication:2452150
DOI10.1007/s11579-014-0115-3zbMath1308.91157arXiv1210.2337OpenAlexW2949610297MaRDI QIDQ2452150
Francesca Biagini, Alessandra Cretarola, Eckhard Platen
Publication date: 30 May 2014
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.2337
numéraire portfolioFöllmer-Schweizer decompositionlocal risk-minimizationbenchmark approachreal world pricing
Related Items (5)
Polynomial diffusion models for life insurance liabilities ⋮ Extended reduced-form framework for non-life insurance ⋮ BENCHMARKED RISK MINIMIZATION ⋮ Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization ⋮ Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Market viability via absence of arbitrage of the first kind
- A complete explicit solution to the log-optimal portfolio problem.
- The numéraire portfolio in semimartingale financial models
- Quadratic hedging methods for defaultable claims
- A benchmark approach to quantitative finance
- Diversified portfolios with jumps in a benchmark framework
- A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
- PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS
- M6—On Minimal Market Models and Minimal Martingale Measures
- No Arbitrage and the Growth Optimal Portfolio
- An Intertemporal Capital Asset Pricing Model
- On the minimal martingale measure and the möllmer-schweizer decomposition
- Local risk minimization and numéraire
- BENCHMARKED RISK MINIMIZATION
- Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets
- Credit risk: Modelling, valuation and hedging
- The numeraire portfolio for unbounded semimartingale
This page was built for publication: Local risk-minimization under the benchmark approach