Quadratic hedging strategies under inner information

MaRDI QIDQ2885997zbMATH OpenFDO

Authors Jianqi Yang, Qingxian Xiao

Publication date 1 June 2012

Published in Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

hedgingjump-diffusion modelsenlarge filtrationinner information

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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(7)

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• Mean-Variance Hedging Under Additional Market Information
• Quadratic Hedging with Mixed State and Control Constraints
• Quadratic hedging in an incomplete market derived by an influential informed investor
• Quadratic-Variation-Based Dynamic Strategies
• Quantile hedging for an insider
• Option hedging by an influential informed investor

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