scientific article

Publication date: 12 September 2002

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

martingale risk-minimization self-financing financial market in continuous time quadratic hedging approach

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic processes (60G99)

Related Items

Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market ⋮ LOCALLY RISK-MINIMIZING HEDGING FOR EUROPEAN CONTINGENT CLAIMS WRITTEN ON NON-TRADABLE ASSETS WITH COMMON JUMP RISK ⋮ LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES ⋮ Equal risk pricing and hedging of financial derivatives with convex risk measures ⋮ Minimal martingale measures for jump diffusion processes ⋮ An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models ⋮ A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus ⋮ Pricing and hedging equity-indexed annuities via local risk-minimization ⋮ LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS ⋮ The Föllmer–Schweizer decomposition under incomplete information ⋮ Approximate indifference pricing in exponential Lévy models ⋮ Term structure modeling with overnight rates beyond stochastic continuity ⋮ Local Risk-Minimization for Barndorff-Nielsen and Shephard Models with Volatility Risk Premium ⋮ ON THE NUMERICAL ASPECTS OF OPTIMAL OPTION HEDGING WITH TRANSACTION COSTS ⋮ Performance of utility-based strategies for hedging basis risk ⋮ Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk ⋮ A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period ⋮ Hedging the Risk of Delayed Data in Defaultable Markets ⋮ Estimating fast mean-reverting jumps in electricity market models ⋮ Tax- and expense-modified risk-minimization for insurance payment processes ⋮ An Analytical Valuation Framework for Financial Assets with Trading Suspensions ⋮ Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints ⋮ Risk Minimization for a Filtering Micromovement Model of Asset Price ⋮ Variance-Optimal Hedging in General Affine Stochastic Volatility Models ⋮ Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets ⋮ Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes ⋮ Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk ⋮ Option overlay strategies ⋮ Pricing derivatives in a regime switching market with time inhomogenous volatility ⋮ NUMERICAL ANALYSIS ON LOCAL RISK-MINIMIZATION FOR EXPONENTIAL LÉVY MODELS ⋮ PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS ⋮ BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk ⋮ Estimation and filtering by reversible jump MCMC for a doubly stochastic Poisson model for ultra-high-frequency financial data ⋮ Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation ⋮ Optimal hedging in an extended binomial market under transaction costs ⋮ Lattice-based hedging schemes under GARCH models ⋮ Variance optimal hedging for continuous time additive processes and applications ⋮ A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility ⋮ Utility indifference valuation for non-smooth payoffs with an application to power derivatives ⋮ Informed traders' hedging with news arrivals ⋮ Separation results for multi-product inventory hedging problems ⋮ Dynamic programming and mean-variance hedging with partial execution risk ⋮ Quadratic hedging in affine stochastic volatility models ⋮ On the structure of general mean-variance hedging strategies ⋮ Polynomial diffusion models for life insurance liabilities ⋮ Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors ⋮ Option pricing in a regime switching stochastic volatility model ⋮ Valuation and hedging of life insurance liabilities with systematic mortality risk ⋮ Pricing European options by numerical replication: quadratic programming with constraints ⋮ On the implied market price of risk under the stochastic numéraire ⋮ On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps ⋮ Hedging pure endowments with mortality derivatives ⋮ Adapted hedging ⋮ Economic neutral position: how to best replicate not fully replicable liabilities? ⋮ Quadratic hedging: an actuarial view extended to solvency control ⋮ Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes ⋮ Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency ⋮ Unit-linked life insurance policies: optimal hedging in partially observable market models ⋮ Quadratic hedging for sequential claims with random weights in discrete time ⋮ An empirical comparison of two stochastic volatility models using Indian market data ⋮ Mean-variance hedging with oil futures ⋮ Hedging under generalized good-deal bounds and model uncertainty ⋮ Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds ⋮ Mixed hedging under additive market price information ⋮ On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models ⋮ Pricing and hedging Asian-style options on energy ⋮ BSDEs under partial information and financial applications ⋮ Robust mean-variance hedging via \(G\)-expectation ⋮ Simplified mean-variance portfolio optimisation ⋮ A discrete-time hedging framework with multiple factors and fat tails: on what matters ⋮ Robustness of quadratic hedging strategies in finance via Fourier transforms ⋮ Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps ⋮ Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts ⋮ Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives ⋮ Minimal martingale measure: pricing and hedging in a pure jump model under restricted information ⋮ Time-consistent mean-variance portfolio selection in discrete and continuous time ⋮ Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model ⋮ Cone-constrained continuous-time Markowitz problems ⋮ On transformations of actuarial valuation principles. ⋮ Quadratic hedging for asset derivatives with discrete stochastic dividends. ⋮ Indifference pricing of insurance contracts in a product space model: Applications ⋮ Local risk-minimization for defaultable claims with recovery process ⋮ Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility ⋮ White noise analysis for Lévy processes. ⋮ Pricing and hedging basis risk under no good deal assumption ⋮ Local risk-minimization under the benchmark approach ⋮ A benchmarking approach to optimal asset allocation for insurers and pension funds ⋮ A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market ⋮ Asymptotically optimal discretization of hedging strategies with jumps ⋮ Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes ⋮ Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates ⋮ Asymptotic analysis of utility-based hedging strategies for small number of contingent claims ⋮ Semimartingales and shrinkage of filtration ⋮ Quadratic hedging schemes for non-Gaussian GARCH models ⋮ A dynamic autoregressive expectile for time-invariant portfolio protection strategies ⋮ Minimal \(f^q\)-Martingale measures for exponential Lévy processes ⋮ Local risk-minimization for Barndorff-Nielsen and Shephard models ⋮ Tractable hedging: An implementation of robust hedging strategies ⋮ Quadratic hedging methods for defaultable claims ⋮ Dynamic hedging of synthetic CDO tranches with spread risk and default contagion ⋮ Explicit formulas for the minimal variance hedging strategy in a martingale case ⋮ Cross hedging with stochastic correlation ⋮ Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering ⋮ Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization ⋮ Minimal variance hedging in multicurve interest rate modeling ⋮ Number of paths versus number of basis functions in American option pricing ⋮ Hedging guarantees in variable annuities under both equity and interest rate risks ⋮ Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes ⋮ The Föllmer-Schweizer decomposition: comparison and description ⋮ Systematic equity-based credit risk: A CEV model with jump to default ⋮ Effectiveness of CPPI strategies under discrete-time trading ⋮ Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities ⋮ Stochastic control methods: Hedging in a market described by pure jump processes ⋮ Hedging life insurance contracts in a Lévy process financial market ⋮ Optimal investment for an insurer: the martingale approach ⋮ Asymptotic option price with bounded expected loss ⋮ Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging ⋮ Variance-optimal hedging for processes with stationary independent increments ⋮ Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio ⋮ Model risk and discretisation of locally risk-minimising strategies ⋮ Option pricing in regime-switching frameworks with the extended Girsanov principle ⋮ Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model ⋮ BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets ⋮ Hedging of defaultable claims in a structural model using a locally risk-minimizing approach ⋮ Convergence of estimated option price in a regime switching market ⋮ Good deal hedging and valuation under combined uncertainty about drift and volatility ⋮ A benchmark approach to risk-minimization under partial information ⋮ Mean-variance hedging for discontinuous semimartingales. ⋮ Asymptotic analysis of hedging errors in models with jumps ⋮ Hedging diffusion processes by local risk minimization with applications to index tracking ⋮ Auto-static for the people: risk-minimizing hedges of barrier options ⋮ Asymptotic analysis of option pricing in a Markov modulated market ⋮ Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations ⋮ Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering ⋮ Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model ⋮ Risk-minimization for life insurance liabilities with basis risk ⋮ Shortfall risk minimization versus symmetric (quadratic) hedging