scientific article
From MaRDI portal
Publication:3534755
zbMath1153.91560MaRDI QIDQ3534755
Publication date: 4 November 2008
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
incomplete marketspayment streamsFöllmer-Schweizer decompositionlocal risk-minimizationstructure conditionmean-variance tradeoffquadratic hedginglocally risk-minimizing
Generalizations of martingales (60G48) Signal detection and filtering (aspects of stochastic processes) (60G35) Portfolio theory (91G10)
Related Items (21)
A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus ⋮ Quadratic hedging: an actuarial view extended to solvency control ⋮ Unit-linked life insurance policies: optimal hedging in partially observable market models ⋮ On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models ⋮ Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts ⋮ Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives ⋮ Time-consistent mean-variance portfolio selection in discrete and continuous time ⋮ Local Risk-Minimization for Barndorff-Nielsen and Shephard Models with Volatility Risk Premium ⋮ Local risk-minimization for defaultable claims with recovery process ⋮ A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market ⋮ Tax- and expense-modified risk-minimization for insurance payment processes ⋮ An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process ⋮ Causality between stopped filtrations and some applications ⋮ Local risk-minimization for Barndorff-Nielsen and Shephard models ⋮ Cross hedging with stochastic correlation ⋮ The value of a liability cash flow in discrete time subject to capital requirements ⋮ Model risk and discretisation of locally risk-minimising strategies ⋮ NUMERICAL ANALYSIS ON LOCAL RISK-MINIMIZATION FOR EXPONENTIAL LÉVY MODELS ⋮ PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS ⋮ BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets ⋮ Risk-minimization for life insurance liabilities with basis risk
This page was built for publication:
