Local risk minimization and numéraire

DOI10.1239/jap/1032374760zbMath0993.91019OpenAlexW1966763991MaRDI QIDQ4954243

Francesca Biagini, Maurizio Pratelli

Publication date: 22 September 2002

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/edd6cd7326b31409559b425d575582a4e9068dc0

zbMATH Keywords

hedgingstochastic volatilitynuméraireminimal martingale measurelocal risk-minimization

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic analysis (60H99)

Related Items (9)

Polynomial diffusion models for life insurance liabilities ⋮ Extended reduced-form framework for non-life insurance ⋮ On the implied market price of risk under the stochastic numéraire ⋮ Fair pricing and hedging under small perturbations of the numéraire on a finite probability space ⋮ Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts ⋮ Local risk-minimization under the benchmark approach ⋮ Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets ⋮ LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS ⋮ Minimal martingale measure on a finite probability space

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