A guided tour through quadratic hedging approaches
Year of publication: |
1999
|
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Authors: | Schweizer, Martin |
Publisher: |
Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |
Subject: | risk-minimization | locally risk-minimizing | mean-variance hedging | minimal martingale measure | variance-optimal martingale measure | Föllmer-Schweizer decomposition | quadratic hedging criteria | incomplete markets |
Series: | SFB 373 Discussion Paper ; 1999,96 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 722916531 [GVK] hdl:10419/61765 [Handle] RePEc:zbw:sfb373:199996 [RePEc] |
Classification: | G10 - General Financial Markets. General ; C60 - Mathematical Methods and Programming. General |
Source: |
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A guided tour through quadratic hedging approaches
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