Risk minimizing hedging for a partially observed high frequency data model

DOI10.1080/17442500500488316zbMath1156.91362OpenAlexW2006727853MaRDI QIDQ3426316

Claudia Ceci

Publication date: 8 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500500488316

zbMATH Keywords

filteringmarked point processeshigh-frequency datajump-diffusionshedging under restricted informationrisk minimizing hedging strategies

Mathematics Subject Classification ID

Related Items (19)

Nonlinear Filtering for Jump Diffusion Observations ⋮ Partially informed investors: hedging in an incomplete market with default ⋮ Nonlinear filtering with correlated Lévy noise characterized by copulas ⋮ Filtering with marked point process observations via Poisson chaos expansion ⋮ PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH ⋮ Nonlinear filtering of stochastic differential equations with correlated Lévy noises ⋮ The Föllmer–Schweizer decomposition under incomplete information ⋮ BSDEs under partial information and financial applications ⋮ Utility-based hedging and pricing with a nontraded asset for jump processes ⋮ A BSDE-based approach for the optimal reinsurance problem under partial information ⋮ A partially observed ultra-high-frequency data model: risk-minimizing hedging ⋮ Risk Minimization for a Filtering Micromovement Model of Asset Price ⋮ UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS ⋮ The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness ⋮ GKW representation theorem under restricted information: An application to risk-minimization ⋮ Optimal Investment-consumption for Partially Observed Jump-diffusions ⋮ Stochastic control methods: Hedging in a market described by pure jump processes ⋮ A benchmark approach to risk-minimization under partial information ⋮ Risk-minimizing hedging strategies with restricted information and cost

Cites Work

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• Calcul stochastique et problèmes de martingales
• On sequential construction of solutions of stochastic differential equations with jump terms
• Option hedging for semimartingales
• Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
• Risk Minimization with Incomplete Information in a Model for High-Frequency Data
• A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
• RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
• A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH

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