Minimal-variance hedging in large financial markets: random fields approach

DOI10.1080/07362990903417979MaRDI QIDQ3405552zbMATH OpenOpenAlexFDO

Authors Giulia Di Nunno, Inga Baadshaug Eide

Publication date 10 February 2010

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10852/10499

zbMATH Keywords

random fieldbond marketstochastic integrallarge marketstochastic derivativeminimal variance hedgingmartingale random field

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Random fields (60G60) Random measures (60G57) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

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Cited in

(12)

• Mean-variance hedging in large financial markets
• Martingale representation for Poisson processes with applications to minimal variance hedging
• Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises
• \(L^{2}\)-approximating pricing under restricted information
• A maximum principle for mean-field SDEs with time change
• Maximizing expected utility in the arbitrage pricing model
• Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps
• Controlled random fields, von Neumann-Gale dynamics and multimarket hedging with risk
• Set-valued stochastic integrals and equations with respect to two-parameter martingales
• Learning minimum variance discrete hedging directly from the market
• On stochastic control for time changed Lévy dynamics
• BSDEs driven by time-changed Lévy noises and optimal control

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