Minimization of locally-quadratic risk on financial markets with two parameters

zbMATH Open1164.62432MaRDI QIDQ3607773FDOQ3607773

Authors: A. V. Zolota, Yuliya S. Mishura 

Publication date: 28 February 2009

Recommendations

• Locally risk-minimizing strategies in discrete time incomplete financial markets
• Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets
• General type and robustness of local minimal risk strategies
• Local risk-minimization under restricted information on asset prices
• Risk minimization in the model with transaction costs

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (3)

• Risk minimization in financial markets modeled by Itô-Lévy processes
• General type and robustness of local minimal risk strategies
• Locally risk-minimizing strategies in discrete time incomplete financial markets

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