MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION

DOI10.1111/J.1467-9965.2008.00342.XMaRDI QIDQ3521286zbMATH OpenOpenAlexFDO

Authors Aleš Černý, Jan Kallsen

Publication date 21 August 2008

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2008.00342.x

zbMATH Keywords

affine processHeston's modelmean-variance hedgingoptimal investmentoption pricingstochastic volatility

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A comparison of two quadratic approaches to hedging in incomplete markets
• Affine processes and applications in finance
• An Intertemporal General Equilibrium Model of Asset Prices
• Attainable claims with \(p\)'th moments
• Martingales versus PDEs in finance: an equivalence result with examples
• On some filtering problems arising in mathematical finance
• STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
• Time-inhomogeneous affine processes
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Variance-optimal hedging for processes with stationary independent increments

Cited in

(22)

• Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes
• Cross hedging with stochastic correlation
• Robust optimal investment problem with delay under Heston's model
• Mean-variance portfolio selection with correlation risk
• Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility
• Mean-variance asset-liability management with asset correlation risk and insurance liabilities
• Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading
• A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
• PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING
• Pricing options on variance in affine stochastic volatility models
• Hedging (co)variance risk with variance swaps
• Hedging by sequential regressions revisited
• Mean-variance hedging with oil futures
• Hedging efficiently under correlation
• Evaluating discrete dynamic strategies in affine models
• Optimal hedging using cointegration
• On Carr and Lee's correlation immunization strategy
• Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty
• On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility
• Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets
• The law of one price in quadratic hedging and mean-variance portfolio selection
• Quadratic hedging in affine stochastic volatility models

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