scientific article; zbMATH DE number 17495
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Publication:3974816
zbMATH Open0738.90007MaRDI QIDQ3974816FDOQ3974816
Authors: Hans Föllmer, Martin Schweizer 
Publication date: 26 June 1992
Title of this publication is not available (Why is that?)
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incomplete marketcontinuous semimartingaleminimal equivalent martingale measureoptimal hedging strategies for contingent claims
Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Microeconomic theory (price theory and economic markets) (91B24)
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- A dynamic reinsurance theory
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- Kernel-correlated Lévy field driven forward rate and application to derivative pricing
- Local risk-minimization for defaultable claims with recovery process
- Optimal robust mean-variance hedging in incomplete financial markets
- A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
- Performance of utility-based strategies for hedging basis risk
- Pricing currency options under two-factor Markov-modulated stochastic volatility models
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- Pricing Asian options in a semimartingale model
- Harmonic analysis of stochastic equations and backward stochastic differential equations
- Informed traders' hedging with news arrivals
- Separation results for multi-product inventory hedging problems
- Coherent hedging in incomplete markets
- Option pricing and Esscher transform under regime switching
- On Bayesian value at risk: from linear to non-linear portfolios
- Minimal martingale measure: pricing and hedging in a pure jump model under restricted information
- A simple novel approach to valuing risky zero coupon bond in a Markov regime switching economy
- Risk Minimization for a Filtering Micromovement Model of Asset Price
- Option pricing and hedging under a stochastic volatility Lévy process model
- Reviewing alternative characterizations of Meixner process
- Option pricing when the regime-switching risk is priced
- Bounds for the utility-indifference prices of non-traded assets in incomplete markets
- Option hedging for semimartingales
- Capturing parameter risk with convex risk measures
- Pricing contingent claims on stocks driven by Lévy processes
- On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model
- The \(p\)-optimal martingale measure in continuous trading models
- The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
- A PDE approach for risk measures for derivatives with regime switching
- Implied and realized volatility: empirical model selection
- Asymptotic analysis of option pricing in a Markov modulated market
- Martingale densities for general asset prices
- Real options with constant relative risk aversion
- Asymptotically optimal discretization of hedging strategies with jumps
- On the structure of general mean-variance hedging strategies
- The mean correcting martingale measures for exponential additive processes
- Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps
- On option pricing under a completely random measure via a generalized Esscher transform
- Pricing and hedging of american contingent claims in incomplete markets
- Quadratic hedging methods for defaultable claims
- Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
- Conservative delta hedging.
- Equal risk pricing under convex trading constraints
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Properties of multinomial lattices with cumulants for option pricing and hedging
- Pricing annuity guarantees under a regime-switching model
- Fast deterministic pricing of options on Lévy driven assets
- GARCH option pricing: A semiparametric approach
- Equilibrium pricing in incomplete markets under translation invariant preferences
- Indifference prices and implied volatilities
- Asymptotic analysis of utility-based hedging strategies for small number of contingent claims
- Backward stochastic partial differential equations related to utility maximization and hedging
- The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims
- Tempered stable distributions and processes
- Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas
- The pricing of credit default swaps under a Markov-modulated Merton's structural model
- Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
- Numerical analysis on binomial tree methods for a jump-diffusion model.
- Portfolios and risk premia for the long run
- A mathematical theory of financial bubbles
- A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
- A hidden Markov regime-switching model for option valuation
- Information on jump sizes and hedging
- Pricing participating products under a generalized jump-diffusion model
- A structural risk-neutral model of electricity prices
- An empirical comparison of two stochastic volatility models using Indian market data
- Probabilistic aspects of finance
- Mean-variance hedging with oil futures
- Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
- Variance-optimal hedging for target volatility options
- On the pricing of contingent claims under constraints
- Valuation of FX barrier options under stochastic volatility
- Exponential utility indifference valuation in two Brownian settings with stochastic correlation
- Accounting for risk aversion in derivatives purchase timing
- A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
- Asymptotic analysis of hedging errors in models with jumps
- Option pricing with threshold diffusion processes
- Number of paths versus number of basis functions in American option pricing
- What does the market price of risk tell us in the single factor interest rate model?
- Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
- A variance reduction technique based on integral representations
- Optimal couplings on Wiener space and an extension of Talagrand's transport inequality
- Hedging diffusion processes by local risk minimization with applications to index tracking
- Value preserving portfolio strategies and the minimal martingale measure
- Value preserving portfolio strategies in continuous-time models
- A note on the hedging of options by Malliavin calculus in a jump-diffusion market
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- Mean-Variance Hedging Under Additional Market Information
- Catastrophe risk bonds with applications to earthquakes
- Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices
- Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus
- A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market.
- On some filtering problems arising in mathematical finance
- BSDEs, càdlàg martingale problems, and orthogonalization under basis risk
- The implied Sharpe ratio
- Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences
- On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
- Minimal martingale measure on a finite probability space
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