Stochastic integral representations, stochastic derivatives and minimal variance hedging

DOI10.1080/10451120212869zbMATH Open1009.60045OpenAlexW2104952359MaRDI QIDQ3148779FDOQ3148779

Authors: Giulia Di Nunno 

Publication date: 7 April 2003

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10451120212869

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zbMATH Keywords

integral representationstochastic derivativeminimal variance hedgingLévy process

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integrals (60H05)

Cites Work

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Cited In (15)

• Explicit formulas for the minimal variance hedging strategy in a martingale case
• Weak approximations for Wiener functionals
• Derivatives of diffusions with applications in finance
• Short-term risk management using stochastic Taylor expansions under Lévy models
• Title not available (Why is that?)
• Some remarks on tangent martingale difference sequences in \(L^{1}\)-spaces
• Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors
• On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
• Applications of the Quadratic Covariation Differentiation Theory: Variants of the Clark-Ocone and Stroock's Formulas
• Minimal-variance hedging in large financial markets: random fields approach
• On the structure of general mean-variance hedging strategies
• Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps
• On stochastic control for time changed Lévy dynamics
• Computation of the Greeks delta and gamma of Asian option: a Malliavin calculus approach
• RANDOM FIELDS: NON-ANTICIPATING DERIVATIVE AND DIFFERENTIATION FORMULAS

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