Mean-variance hedging with oil futures

DOI10.1007/S00780-013-0203-XzbMATH Open1275.91126OpenAlexW2095749237MaRDI QIDQ377447FDOQ377447

Authors: Liao Wang, Johannes Wissel 

Publication date: 6 November 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/1813/23567

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zbMATH Keywords

mean-variance hedgingenergy futures marketfuel hedging

Mathematics Subject Classification ID

Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• Continuous-time stochastic control and optimization with financial applications
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• A guided tour through quadratic hedging approaches
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
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• Mean-variance hedging and numéraire
• MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
• On the minimal martingale measure and the möllmer-schweizer decomposition
• Optimal Control and Hedging of Operations in the Presence of Financial Markets
• Complications with stochastic volatility models
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• Mean-variance hedging for continuous processes: New proofs and examples
• The variance-optimal martingale measure for continuous processes
• Simplified mean-variance portfolio optimisation
• Attainable claims with \(p\)'th moments
• Mean reversion versus random walk in oil and natural gas prices

Cited In (4)

• Title not available (Why is that?)
• Appraising the convenience of a call-based dynamical hedging strategy for an oil-company
• Hedging mean-reverting commodities
• Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach

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