Hedging costs for two large investors

DOI10.1080/17442508.2010.490299MaRDI QIDQ3017913zbMATH OpenOpenAlexFDO

Authors Takashi Adachi

Publication date 20 July 2011

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2010.490299

zbMATH Keywords

dynamic programminghedging costlarge investorMarkov market modelstochastic controlviscosity solution

Mathematics Subject Classification ID

Existence theories for optimal control problems involving partial differential equations (49J20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Continuous-time Markov processes on general state spaces (60J25) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stochastic control (93E20)

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Cites work

• A martingale characterization of consumption choices and hedging costs with margin requirements
• Dynamic programming for stochastic target problems and geometric flows
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Hedging options for a large investor and forward-backward SDE's
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• scientific article; zbMATH DE number 1985275 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Liquidity risk and arbitrage pricing theory
• Market volatility and feedback effects from dynamic hedging
• On Feedback Effects from Hedging Derivatives
• On superhedging under delta constraints
• Optional decompositions under constraints
• Perfect option hedging for a large trader
• Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(5)

• Minimal-variance hedging in large financial markets: random fields approach
• Partial hedging in financial markets with a large agent
• Hedging contingent claims for a large investor in an incomplete market
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• On dynamic programming equations for utility indifference pricing under delta constraints

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