The Föllmer-Schweizer decomposition: comparison and description

DOI10.1016/J.SPA.2010.02.004zbMATH Open1196.60077OpenAlexW2093205702MaRDI QIDQ981002FDOQ981002

Michèle Vanmaele, Nele Vandaele, Tahir Choulli

Publication date: 8 July 2010

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

Full work available at URL: https://doi.org/10.1016/j.spa.2010.02.004

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zbMATH Keywords

incomplete marketsGaltchouk-Kunita-Watanabe decompositionminimal martingale measurelocal risk-minimizationpredictable characteristicsFöllmer-Schweizer decomposition

Mathematics Subject Classification ID

Martingales and classical analysis (60G46)

Cites Work

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• Financial Modelling with Jump Processes
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• MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE

Cited In (20)

• Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
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• On the minimal martingale measure and the möllmer-schweizer decomposition
• Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
• Hedging strategies for energy derivatives
• Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
• Unit-linked life insurance policies: optimal hedging in partially observable market models
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors
• Time-consistent mean-variance portfolio selection in discrete and continuous time
• Hedging of defaultable claims in a structural model using a locally risk-minimizing approach
• On the optional and orthogonal decompositions of supermartingales and applications
• Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps
• Sensitivity analysis of the utility maximisation problem with respect to model perturbations
• Structure Conditions under Progressively Added Information
• Robustness of quadratic hedging strategies in finance via Fourier transforms
• Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives
• On the optional and orthogonal decompositions of a class of semimartingales
• The Föllmer–Schweizer decomposition under incomplete information
• Hedging the Risk of Delayed Data in Defaultable Markets

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