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Mean-variance hedging for stochastic volatility models

Biagini, Francesca; Guasoni, Paolo; Pratelli, Maurizio - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 109-123

Persistent link: https://www.econbiz.de/10002177187

Mean-variance hedging for interest rate models with stochastic volatility

Biagini, Francesca - In: Decisions in economics and finance : DEF ; a journal of … 25 (2002) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10001681437

Local risk-minimization under the benchmark approach

Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard - In: Mathematics and financial economics 8 (2014) 2, pp. 109-134

Persistent link: https://www.econbiz.de/10010341774

Minimal variance for insider trading

Biagini, Francesca; Øksendal, Bernt K. - In: International journal of theoretical and applied finance 9 (2006) 8, pp. 1351-1376

Persistent link: https://www.econbiz.de/10003397196

Risk-minimization for life insurance liabilities with basis risk

Biagini, Francesca; Rheinländer, Thorsten; Schreiber, Irene - In: Mathematics and financial economics 10 (2016) 2, pp. 151-178

Persistent link: https://www.econbiz.de/10011485900

Risk minimization for insurance products via F-doubly stochastic Markov chains

Biagini, Francesca; Groll, Andreas; Widenmann, Jan … - In: Risks : open access journal 4 (2016) 3, pp. 1-26

We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy's states follows an F-doubly stochastic Markov chain, we describe different state-dependent types of insurance benefits. These cover single payments at...

Persistent link: https://www.econbiz.de/10011507634