scientific article; zbMATH DE number 5894935

MaRDI QIDQ2999794zbMATH OpenFDO

Authors Torsten Rheinländer, Jenny Sexton

Publication date 17 May 2011

zbMATH Keywords

derivative securitieshedgingincomplete marketsoptimal martingale measures

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Processes with independent increments; Lévy processes (60G51) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)

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(29)

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• Conservative delta hedging.
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• Optimal martingale measures for defaultable assets
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• The role of derivatives in hedge fund activism
• Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times
• The VIX and future information
• Hedging with temporary price impact
• Explicit representations for utility indifference prices
• Deep hedging
• Optimal claims with fixed payoff structure
• The minimal entropy martingale measure for exponential Markov chains
• Tractable hedging with additional hedge instruments
• Hedging mean-reverting commodities
• VIX MODELING FOR A MARKET INSIDER
• Mean–variance hedging of contingent claims with random maturity
• Pricing and hedging of temperature derivatives in a model with memory
• On the pricing and hedging of precipitation derivatives
• The second-order Esscher martingale densities for continuous-time market models
• Wind power production modeling with CBI processes

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