Stochastic control methods: Hedging in a market described by pure jump processes

DOI10.1007/S10440-009-9543-0zbMATH Open1206.60076OpenAlexW2162084134MaRDI QIDQ983684FDOQ983684

Authors: Anna Gerardi, Paola Tardelli 

Publication date: 24 July 2010

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-009-9543-0

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zbMATH Keywords

incomplete marketexponential utilitymarked point processeshedging problemspiecewise deterministic control problems

Mathematics Subject Classification ID

Utility theory (91B16) Dynamic programming in optimal control and differential games (49L20) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

Cites Work

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Cited In (9)

• Title not available (Why is that?)
• Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market
• Stochastic Control and Pricing Under Swap Measures
• A general stochastic target problem with jump diffusion and an application to a hedging problem for large investors
• A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment
• Stochastic LQ control framework for the hedging problem as the stock price follows jump-diffusion process
• Statistical causality and purely discontinuous local martingales
• Risk-neutral measures and pricing for a pure jump price process
• Partially informed investors: hedging in an incomplete market with default

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