Risk minimizing hedging for a partially observed high frequency data model

DOI10.1080/17442500500488316zbMath1156.91362MaRDI 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

filtering; marked point processes; high-frequency data; jump-diffusions; hedging under restricted information; risk minimizing hedging strategies

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

91B70: Stochastic models in economics

Related Items

PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH, Stochastic control methods: Hedging in a market described by pure jump processes, A partially observed ultra-high-frequency data model: risk-minimizing hedging, Risk Minimization for a Filtering Micromovement Model of Asset Price

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