scientific article; zbMATH DE number 2169328

MaRDI QIDQ4676784zbMATH OpenFDO

Authors V. Radchenko

Publication date 20 May 2005

zbMATH Keywords

martingalesprice modelsrisks

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35)

Recommendations

• Variance-Minimizing Hedging in a Model with Jumps at Deterministic Times
• scientific article; zbMATH DE number 5227619
• Risk-minimizing hedging strategies with restricted information and cost
• scientific article; zbMATH DE number 4083331
• Minimization of shortfall risk in a jump-diffusion model

Cited in

(7)

• Minimization of shortfall risk in a jump-diffusion model
• Hedging claims with feedback jumps in the price process
• Quantification of model risk in quadratic hedging in finance
• Variance-Minimizing Hedging in a Model with Jumps at Deterministic Times
• Evaluating the hedging error in price processes with jumps present
• The Föllmer-Schweizer decomposition: comparison and description
• Stochastic control methods: Hedging in a market described by pure jump processes

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4676784)