On mean-variance hedging of bond options with stochastic risk premium factor

DOI10.1007/S00245-014-9248-2MaRDI QIDQ481005zbMATH OpenOpenAlexFDO

Authors Shin Ichi Aihara, Arunabha Bagchi, Suresh Kumar

Publication date 12 December 2014

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-014-9248-2

zbMATH Keywords

Kalman filtermean-variance hedgingindifference priceinfinite-dimensional HMJstochastic risk premium

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 49106 (Why is no real title available?)
• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• scientific article; zbMATH DE number 5497555 (Why is no real title available?)
• A comparison of two quadratic approaches to hedging in incomplete markets
• Bond market completeness and attainable contingent claims
• Dynamic programming and mean-variance hedging
• Financial Modelling with Jump Processes
• MEAN-VARIANCE HEDGING FOR PARTIALLY OBSERVED DRIFT PROCESSES
• Mean-Variance Hedging Under Partial Information
• On incompleteness of bond markets with infinite number of random factors
• STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING
• Stochastic Equations in Infinite Dimensions

Cited in

(7)

• Hedging interest rate risk by optimization in Banach spaces
• On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved
• Pricing and Hedging Discount Bond Options in the Presence of Model Risk *
• A Discrete-Time Model for Reinvestment Risk in Bond Markets
• The mean-variance hedging in a bond market with jumps
• Mean-variance hedging for interest rate models with stochastic volatility.
• DUAL ANALYSIS ON HEDGING VaR OF BOND PORTFOLIO USING OPTIONS

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