On quadratic hedging in continuous time

We review the main results in the theory of quadratic hedging in a general incomplete model of continuous trading with semimartingale price process. The objective is to hedge contingent claims by using portfolio strategies. We describe two types of criteria: the so-called (local) risk-minimization and the mean-variance approaches. From a mathematical viewpoint, these optimization problems lead to new variants of decomposition theorems in stochastic analysis. Copyright Springer-Verlag Berlin Heidelberg 2000

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Year of publication:	2000
Authors:	Pham, Huyên
Published in:	Mathematical Methods of Operations Research. - Springer. - Vol. 51.2000, 2, p. 315-339
Publisher:	Springer
Subject:	Incomplete market \| quadratic hedging \| optimization \| semimartingales \| stochastic integrals \| Kunita-Watanabe projection \| L2-projection \| minimal martingale measure \| variance-optimal martingale measure

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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