Stochastic integral representations, stochastic derivatives and minimal variance hedging
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Publication:3148779
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Cited in
(15)- Applications of the Quadratic Covariation Differentiation Theory: Variants of the Clark-Ocone and Stroock's Formulas
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- Short-term risk management using stochastic Taylor expansions under Lévy models
- Some remarks on tangent martingale difference sequences in \(L^{1}\)-spaces
- On the structure of general mean-variance hedging strategies
- On stochastic control for time changed Lévy dynamics
- Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors
- RANDOM FIELDS: NON-ANTICIPATING DERIVATIVE AND DIFFERENTIATION FORMULAS
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- Computation of the Greeks delta and gamma of Asian option: a Malliavin calculus approach
- Derivatives of diffusions with applications in finance
- Minimal-variance hedging in large financial markets: random fields approach
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