Risk minimizing hedging for a partially observed high frequency data model
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- RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
Cites work
- A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
- A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
- Calcul stochastique et problèmes de martingales
- scientific article; zbMATH DE number 3383329 (Why is no real title available?)
- On sequential construction of solutions of stochastic differential equations with jump terms
- Option hedging for semimartingales
- Risk minimization with incomplete information in a model for high-frequency data
- Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
- RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
Cited in
(28)- Nonlinear filtering with correlated Lévy noise characterized by copulas
- A BSDE-based approach for the optimal reinsurance problem under partial information
- The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
- A partially observed ultra-high-frequency data model: risk-minimizing hedging
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- Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks
- Risk-minimizing hedging strategies with restricted information and cost
- Nonlinear filtering for jump diffusion observations
- Partially informed investors: hedging in an incomplete market with default
- Risk Minimization for a Filtering Micromovement Model of Asset Price
- Filtering with marked point process observations via Poisson chaos expansion
- A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data
- BSDEs under partial information and financial applications
- Minimal martingale measure: pricing and hedging in a pure jump model under restricted information
- Utility-based hedging and pricing with a nontraded asset for jump processes
- scientific article; zbMATH DE number 1342043 (Why is no real title available?)
- The Föllmer–Schweizer decomposition under incomplete information
- UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
- Nonlinear filtering of stochastic differential equations with correlated Lévy noises
- PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH
- GKW representation theorem under restricted information. An application to risk-minimization
- A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
- Optimal Investment-consumption for Partially Observed Jump-diffusions
- Duality in optimal consumption-investment problems with alternative data
- Multi-dimensional queue-reactive model and signal-driven models: a unified framework
- On partially observed jump diffusions. I: the filtering equations
- A benchmark approach to risk-minimization under partial information
- Stochastic control methods: Hedging in a market described by pure jump processes
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