Mean-Variance Hedging via Stochastic Control and BSDEs for General Semimartingales
Year of publication: |
2011-12-13
|
---|---|
Authors: | Jeanblanc, Monique ; Mania, Michael ; Santacroce, Marina ; Schweizer, Martin |
Institutions: | National Centre of Competence in Research - Financial Valuation and Risk Management |
Subject: | Statistik | Hedging | Stochastik | Finanzwissenschaft | Martingal | Martingale |
Extent: | 498688 bytes 42 p. application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | Strategic management ; Financial theory ; Market research ; Individual Working Papers, Preprints ; No country specification |
Source: | USB Cologne (business full texts) |
-
Deviation probability bound for martingales with applications to statistical estimation
Liptser, R., (1999)
-
Forbidden transactions and black markets
Gu, Chenlin, (2022)
-
A general theory of tax-smoothing
Karantounias, Anastasios G., (2024)
- More ...
-
Mean-variance hedging via stochastic control and BSDEs for general semimartingales
Jeanblanc, Monique, (2012)
-
Simplified Mean-Variance Portfolio Optimisation
Fontana, Claudio, (2011)
-
Cone-Constrained Continuous-Time Markowitz Problems
Czichowsky, Christoph, (2011)
- More ...