On the minimal martingale measure and the möllmer-schweizer decomposition

DOI10.1080/07362999508809418zbMATH Open0837.60042OpenAlexW2040425860WikidataQ126240900 ScholiaQ126240900MaRDI QIDQ4859232FDOQ4859232

Martin Schweizer

Publication date: 20 May 1996

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999508809418

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zbMATH Keywords

relative entropymartingale measuremartingale densityFöllmer- Schweizer decomposition

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

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Cited In (only showing first 100 items - show all)

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• Pricing and hedging Asian-style options on energy
• Mean-variance hedging via stochastic control and BSDEs for general semimartingales
• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
• Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
• A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
• Unit-linked life insurance policies: optimal hedging in partially observable market models
• Valuation and hedging of life insurance liabilities with systematic mortality risk
• On arbitrages arising with honest times
• Informed traders' hedging with news arrivals
• Separation results for multi-product inventory hedging problems
• STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES
• Minimal martingale measure: pricing and hedging in a pure jump model under restricted information
• No arbitrage in continuous financial markets
• Drift operator in a viable expansion of information flow
• Diffusion-Based Models for Financial Markets Without Martingale Measures
• The existence of dominating local martingale measures
• Reviewing alternative characterizations of Meixner process
• Optimal martingale measures for defaultable assets
• CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES
• A continuous-time model for reinvestment risk in bond markets
• On transformations of actuarial valuation principles.
• A law of large numbers approach to valuation in life insurance
• Local risk minimization for defaultable markets
• Analytical pricing of vulnerable options under a generalized jump-diffusion model
• Additional logarithmic utility of an insider
• Risk aversion asymptotics for power utility maximization
• Market viability via absence of arbitrage of the first kind
• Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
• Martingale measures in the market with restricted information
• The opportunity process for optimal consumption and investment with power utility
• The \(p\)-optimal martingale measure in continuous trading models
• Time-consistent mean-variance portfolio selection in discrete and continuous time
• Application of Moore-Penrose inverse in deciding the minimal martingale measure
• Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
• WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS
• RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS
• A note on convergence of option prices and their Greeks for Lévy models
• A General Benchmark Model for Stochastic Jump Sizes
• BENCHMARKED RISK MINIMIZATION
• Approximation pricing and the variance-optimal martingale measure
• Open markets
• Indifference valuation in incomplete binomial models
• On the structure of general mean-variance hedging strategies
• Minimal \(f^q\)-Martingale measures for exponential Lévy processes
• Martingale laws, densities and decomposition of Föllmer-Schweizer
• Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
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• No Arbitrage and the Growth Optimal Portfolio
• Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
• An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models
• Robustness of quadratic hedging strategies in finance via Fourier transforms
• The Föllmer-Schweizer decomposition: comparison and description
• The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints
• A Discrete-Time Model for Reinvestment Risk in Bond Markets
• M6—On Minimal Market Models and Minimal Martingale Measures
• The Bellman equation for power utility maximization with semimartingales
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Valuation of Equity-Linked Insurance and Annuity Products with Binomial Models
• Nonlinear stochastic integrals for hyperfinite Lévy processes
• Change of filtrations and mean–variance hedging
• Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives
• Stability of utility-maximization in incomplete markets
• Information on jump sizes and hedging
• The structure of optimal consumption streams in general incomplete markets
• ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS
• Minimal Hellinger martingale measures of order \(q\)
• Characterization of arbitrage-free markets
• Mean-variance hedging with oil futures
• Variance optimal hedging for continuous time additive processes and applications
• Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
• A minimality property of the minimal martingale measure
• Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
• Value preserving portfolio strategies and the minimal martingale measure
• Catastrophe risk bonds with applications to earthquakes
• Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices
• Title not available (Why is that?)
• Time-consistent asymptotic exponential arbitrage with small probable maximum loss
• On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations
• Option pricing for time-change exponential Lévy model under MEMM
• The Mean-Variance Hedging of a Defaultable Option with Partial Information
• Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to mathematical finance
• Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences
• A general class of distortion operators for pricing contingent claims with applications to CAT bonds
• Minimal martingale measure on a finite probability space
• A note on asymptotic exponential arbitrage with exponentially decaying failure probability
• Structure condition under initial enlargement of filtration
• A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE
• SOME REMARKS ON MEAN-VARIANCE HEDGING FOR DISCONTINUOUS ASSET PRICE PROCESSES
• Arbitrage problems with reflected geometric Brownian motion
• Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure
• Local risk-minimization under the benchmark approach
• Option pricing in sandwiched Volterra volatility model
• BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets
• Applications of the method of compactness and decomposition: minimization, convergence of martingales, multivalued Fatou lemma
• Structure Conditions under Progressively Added Information

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