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

DOI10.1007/S10440-009-9543-0MaRDI QIDQ983684zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• Risk-neutral measures and pricing for a pure jump price process
• Stochastic optimal control. The discrete time case
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Utility maximization in incomplete markets for unbounded processes
• Utility-based hedging and pricing with a nontraded asset for jump processes
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• Wealth optimization and dual problems for jump stock dynamics with stochastic factor

Cited in

(9)

• scientific article; zbMATH DE number 1642347 (Why is no real title available?)
• Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market
• A general stochastic target problem with jump diffusion and an application to a hedging problem for large investors
• Stochastic Control and Pricing Under Swap Measures
• 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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