Search Results - subject:"Mean variance hedging"

Mean Variance Hedging in a General Jump Model

Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing - In: Applied Mathematical Finance 17 (2010) 1, pp. 29-57

We consider the mean-variance hedging of a contingent claim H when the discounted price process S is an [image omitted … cost of the mean-variance hedging by means of another BSE and an appropriate predictable process δ …

Persistent link: https://www.econbiz.de/10008609603

MEAN VARIANCE HEDGING IN A GENERAL JUMP MARKET

XIONG, DEWEN; KOHLMANN, MICHAEL - In: International Journal of Theoretical and Applied … 13 (2010) 05, pp. 789-820

version of the classical mean-variance hedging problem $$ \min_{\pi\in Adm} E\{(X^{w,\pi}_{\tilde\tau})^2 I … represent the optimal strategy and the optimal cost of the mean-variance hedging by means of another backward martingale …

Persistent link: https://www.econbiz.de/10008461847

Estimation and arbitrage opportunities for exchange rate baskets

Mercurio, Danilo; Torricelli, Costanza - 2001

currency basket, i.e. a linear combination of foreign currencies. In line with the mean-variance hedging approach, we determine …

Persistent link: https://www.econbiz.de/10010310346

Estimation and arbitrage opportunities for exchange rate baskets

Mercurio, Danilo; Torricelli, Costanza - Sonderforschungsbereich 373, Quantifikation und … - 2001

currency basket, i.e. a linear combination of foreign currencies. In line with the mean-variance hedging approach, we determine …

Persistent link: https://www.econbiz.de/10010956612

Quadratic hedging in affine stochastic volatility models

Kallsen, Jan; Vierthauer, Richard - In: Review of Derivatives Research 12 (2009) 1, pp. 3-27

Persistent link: https://www.econbiz.de/10004999621

Optimal control of linear stochastic systems with singular costs, and the mean-variance hedging problem with stochastic market conditions

Kohlmann, Michael; Tang, Shanjian - 2000

, applications are given to the mean-variance hedging problem with random market conditions, and an explicit characterization for the …

Persistent link: https://www.econbiz.de/10011543597

Recent advances in backward stochastic Riccati equations and their applications

Kohlmann, Michael; Tang, Shanjian - 2000

The following backward stochastic Riccati differential equation (BSRDE in short) is motivated, and is then studied. Some properties are presented. The existence and uniqueness of a global adapted solution to a BSRDE has been open for the case D i 6= 0 for more than two decades. Our recent...

Persistent link: https://www.econbiz.de/10011543687