Quantification of model risk in quadratic hedging in finance
DOI10.1007/978-3-319-23425-0_8zbMATH Open1390.91296OpenAlexW2229042000MaRDI QIDQ2801795FDOQ2801795
Authors: Catherine Daveloose, Asma Khedher, Michèle Vanmaele 
Publication date: 22 April 2016
Published in: Stochastics of Environmental and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-23425-0_8
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robustnessincomplete marketmean-variance hedgingmodel riskquadratic hedging[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=geometric+L%EF%BF%BD%EF%BF%BDvy+models&go=Go geometric L��vy models]
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Approximations of small jumps of Lévy processes with a view towards simulation
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Backward Stochastic Differential Equations in Finance
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- Jump-adapted discretization schemes for Lévy-driven SDEs
- The minimal entropy martingale measures for geometric Lévy processes
- Minimal martingale measures for jump diffusion processes
- Actuarial bridges to dynamic hedging and option pricing
- A note on convergence of option prices and their Greeks for Lévy models
Cited In (8)
- On the shortfall risk control: a refinement of the quantile hedging method
- Quantification of risk in classical models of finance
- Model risk and discretisation of locally risk-minimising strategies
- Robustness of quadratic hedging strategies in finance via Fourier transforms
- A comparison of two quadratic approaches to hedging in incomplete markets
- Title not available (Why is that?)
- Applying hedging strategies to estimate model risk and provision calculation
- QUADRATIC HEDGING FOR THE BATES MODEL
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