The Mean-Variance Hedging in a Bond Market with Jumps

DOI10.1080/07362994.2010.503463zbMath1202.91104MaRDI QIDQ4932832

Michael Kohlmann, Dewen Xiong

Publication date: 7 October 2010

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

Full work available at URL: https://doi.org/10.1080/07362994.2010.503463

zbMATH Keywords

mean-variance hedging; bond market with jumps; Backward semimartingale equation; variance optimal martingale

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G44: Martingales with continuous parameter

91G20: Derivative securities (option pricing, hedging, etc.)

91G10: Portfolio theory

Related Items

Defaultable Bond Markets with Jumps, Modeling the Forward CDS Spreads with Jumps

Cites Work

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• Towards a general theory of bond markets
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• Mean-Variance Hedging and Numeraire
• Mean Variance Hedging in a General Jump Model
• Bond Market Structure in the Presence of Marked Point Processes
• Minimal martingale measures for jump diffusion processes