Risk minimizing hedging for a partially observed high frequency data model

DOI10.1080/17442500500488316MaRDI QIDQ3426316zbMATH OpenOpenAlexFDO

Authors 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

filteringhigh-frequency datajump-diffusionsmarked point processeshedging under restricted informationrisk minimizing hedging strategies

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic models in economics (91B70)

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Cites work

• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
• A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
• 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
• Risk minimization with incomplete information in a model for high-frequency data
• Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times

Cited in

(25)

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

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