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Search: subject:"Föllmer–Schweizer decomposition"
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Föllmer-Schweizer decomposition
4
incomplete markets
2
locally risk-minimizing
2
mean-variance hedging
2
minimal martingale measure
2
quadratic hedging criteria
2
risk-minimization
2
variance-optimal martingale measure
2
Bewertung
1
Characteristic function
1
Cumulative generating function
1
Decomposition method
1
Dekompositionsverfahren
1
Derivat
1
Derivative
1
Electricity markets
1
Evaluation
1
Foellmer-Schweizer decomposition
1
Galtchouck-Kunita-Watanabe decomposition
1
Incomplete Markets
1
Lévy process
1
Martingal
1
Martingale
1
Measurement
1
Messung
1
Normal Inverse Gaussian distribution
1
Processes with independent increments
1
Risiko
1
Risk
1
Variance-optimal hedging
1
martingale densities
1
minimal signed martingale measure
1
semimartingales
1
structure condition
1
trading dates optimization
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Working Paper
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Arbeitspapier
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Undetermined
3
English
2
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Schweizer, Martin
3
Biagini, Francesca
1
Cretarola, Alessandra
1
Goutte, Stéphane
1
Oudjane, Nadia
1
Platen, Eckhard
1
Russo, Francesco
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
1
University of Bonn, Germany
1
Université Paris-Dauphine (Paris IX)
1
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Discussion Paper Serie B
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Economics Papers from University Paris Dauphine
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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SFB 373 Discussion Paper
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SFB 373 Discussion Papers
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RePEc
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ECONIS (ZBW)
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EconStor
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Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
Russo, Francesco
;
Oudjane, Nadia
;
Goutte, Stéphane
-
Université Paris-Dauphine (Paris IX)
-
2013
an algori thm, which is based on the celebrated
Föllmer-Schweizer
decomposition
for solving the mean-variance hedging …
Persistent link: https://www.econbiz.de/10011082464
Saved in:
2
Local risk-minimization under the benchmark approach
Biagini, Francesca
;
Cretarola, Alessandra
;
Platen, Eckhard
-
2012
Persistent link: https://www.econbiz.de/10009675074
Saved in:
3
A guided tour through quadratic hedging approaches
Schweizer, Martin
-
1999
semimartingale and explain the relations to the
Föllmer-Schweizer
decomposition
and the minimal martingale measure. Finally we study …
Persistent link: https://www.econbiz.de/10010310042
Saved in:
4
A guided tour through quadratic hedging approaches
Schweizer, Martin
-
Sonderforschungsbereich 373, Quantifikation und …
-
1999
semimartingale and explain the relations to the
Föllmer-Schweizer
decomposition
and the minimal martingale measure. Finally we study …
Persistent link: https://www.econbiz.de/10010983801
Saved in:
5
On the Minimal Martingale Measure and the
Foellmer
-
Schweizer
Decomposition
Schweizer, Martin
-
University of Bonn, Germany
-
1994
on the
Foellmer-Schweizer
decomposition
to the case where X is continuous, but multidimensional. …
Persistent link: https://www.econbiz.de/10004968216
Saved in:
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