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

MaRDI QIDQ3607773zbMATHFDO

Authors A. V. Zolota, Yuliya S. Mishura

Publication date 28 February 2009

Mathematics Subject Classification ID

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

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

Cited in

(3)

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

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