The Föllmer-Schweizer decomposition: comparison and description

DOI10.1016/J.SPA.2010.02.004MaRDI QIDQ981002zbMATH OpenOpenAlexFDO

Authors Tahir Choulli, Nele Vandaele, Michèle Vanmaele

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Martingales and classical analysis (60G46)

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Cited in

(21)

• The Föllmer–Schweizer decomposition under incomplete information
• scientific article; zbMATH DE number 599148 (Why is no real title available?)
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• Sensitivity analysis of the utility maximisation problem with respect to model perturbations
• Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
• Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
• On the optional and orthogonal decompositions of a class of semimartingales
• Hedging strategies for energy derivatives
• Hedging of defaultable claims in a structural model using a locally risk-minimizing approach
• Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives
• Unit-linked life insurance policies: optimal hedging in partially observable market models
• Robustness of quadratic hedging strategies in finance via Fourier transforms
• Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors
• On the minimal martingale measure and the möllmer-schweizer decomposition
• Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
• On the optional and orthogonal decompositions of supermartingales and applications
• Structure Conditions under Progressively Added Information
• Hedging the risk of delayed data in defaultable markets
• Time-consistent mean-variance portfolio selection in discrete and continuous time
• Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps
• Stability and asymptotic analysis of the Föllmer-Schweizer decomposition on a finite probability space

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