Pages that link to "Item:Q4409037"

The following pages link to Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes (Q4409037):

Displaying 31 items.

• Martingale representation for Poisson processes with applications to minimal variance hedging (Q550168) (← links)
• Canonical Lévy process and Malliavin calculus (Q867845) (← links)
• The calculus of variations for processes with independent increments (Q1011026) (← links)
• Short-term risk management using stochastic Taylor expansions under Lévy models (Q1413347) (← links)
• White noise analysis for Lévy processes. (Q1425153) (← links)
• On optimal mean-field control problem of mean-field forward-backward stochastic system with jumps under partial information (Q1697738) (← links)
• Integration by parts and martingale representation for a Markov chain (Q1724128) (← links)
• On the relationship between Wick calculus and stochastic integration in the Lévy white noise analysis (Q1987707) (← links)
• Malliavin calculus for subordinated Lévy process (Q2201376) (← links)
• On the structure of general mean-variance hedging strategies (Q2373572) (← links)
• Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors (Q2633877) (← links)
• Variance optimal hedging for continuous time additive processes and applications (Q2875261) (← links)
• On extended stochastic integrals with respect to Lévy processes (Q2941989) (← links)
• On operators of stochastic differentiation on spaces of regular test and generalized functions of Lévy white noise analysis (Q2942035) (← links)
• LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL (Q2947346) (← links)
• A mean-field stochastic maximum principle via Malliavin calculus (Q3145081) (← links)
• Minimal-Variance Hedging in Large Financial Markets: Random Fields Approach (Q3405552) (← links)
• Variance-Optimal Hedging in General Affine Stochastic Volatility Models (Q3566394) (← links)
• The explicit chaotic representation of the powers of increments of Lévy processes (Q3585333) (← links)
• A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus (Q4562722) (← links)
• Wick calculus on spaces of regular generalized functions of Levy white noise analysis (Q4583470) (← links)
• On Wick calculus on spaces of nonregular generalized functions of Levy white noise analysis (Q4583473) (← links)
• Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes (Q4585676) (← links)
• An extension of the Clark–Ocone formula under benchmark measure for Lévy processes (Q4648586) (← links)
• On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process (Q4916404) (← links)
• Interconnection between Wick multiplication and integration on spaces of nonregular generalized functions in the Lévy white noise analysis (Q5233443) (← links)
• Operators of stochastic differentiation on spaces of nonregular generalized functions of Levy white noise analysis (Q5740297) (← links)
• Pricing and hedging of temperature derivatives in a model with memory (Q6587514) (← links)
• Wick multiplication and its relationship with integration and stochastic differentiation on spaces of nonregular test functions in the Lévy white noise analysis (Q6589490) (← links)
• Approximation of stochastic integrals with jumps via weighted BMO approach (Q6620078) (← links)
• A Girsanov transformed Clark-Ocone-Haussmann type formula for \(L^1\)-pure jump additive processes and its application to portfolio optimization (Q6630706) (← links)