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~person:"Kallsen, Jan"
~isPartOf:"Mathematical Finance, 2008, 18(3), 473-492"
~isPartOf:"Applied mathematical finance"
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Mathematical Finance, 2008, 18(3), 473-492
Applied mathematical finance
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Alternative investments and strategies : credit, derivatives, CPPI, investments, risk
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Applied Mathematical Finance
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Mathematical Methods of Operations Research
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Mean-Variance
Hedging
and Optimal Investment in Heston's Model with Correlation
Černý, Aleš
-
2020
This paper solves the mean-variance
hedging
problem in Heston's model with a stochastic opportunity set moving … derive formulas for the
hedging
strategy and the
hedging
error …
Persistent link: https://www.econbiz.de/10012705869
Saved in:
2
Variance-optimal
hedging
for time-changed Lévy processes
Kallsen, Jan
;
Pauwels, Arnd Philipp
- In:
Applied mathematical finance
18
(
2011
)
1/2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009154430
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