Quantification of model risk in quadratic hedging in finance

DOI10.1007/978-3-319-23425-0_8MaRDI QIDQ2801795zbMATH OpenOpenAlexFDO

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)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1007/978-3-319-23425-0_8

zbMATH Keywords

robustnessincomplete marketmean-variance hedgingmodel riskquadratic hedginggeometric Lévy models

Mathematics Subject Classification ID

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)

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Cites work

• A note on convergence of option prices and their Greeks for Lévy models
• Actuarial bridges to dynamic hedging and option pricing
• Approximations of small jumps of Lévy processes with a view towards simulation
• 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
• Minimal martingale measures for jump diffusion processes
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• The minimal entropy martingale measures for geometric Lévy processes

Cited in

(11)

• Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models
• scientific article; zbMATH DE number 5845914 (Why is no real title available?)
• Evaluating the hedging error in price processes with jumps present
• Robustness of quadratic hedging strategies in finance via Fourier transforms
• QUADRATIC HEDGING FOR THE BATES MODEL
• On the shortfall risk control: a refinement of the quantile hedging method
• Applying hedging strategies to estimate model risk and provision calculation
• Model risk and discretisation of locally risk-minimising strategies
• A comparison of two quadratic approaches to hedging in incomplete markets
• Quantification of risk in classical models of finance
• Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps

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