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Mean variance hedging in a general jump market
Xiong, Dewen
;
Kohlmann, Michael
- In:
International journal of theoretical and applied finance
13
(
2010
)
5
,
pp. 789-820
Persistent link: https://www.econbiz.de/10008904324
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2
Jump bond markets some steps towards general models in applications to hedging and utility problems
Kohlmann, Michael
;
Xiong, Dewen
- In:
Stochastic analysis, stochastic systems, and …
,
(pp. 145-191)
.
2011
Persistent link: https://www.econbiz.de/10009271669
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3
Mean variance hedging in a general jump model
Kohlmann, Michael
;
Xiong, Dewen
;
Ye, Zhongxing
- In:
Applied mathematical finance
17
(
2010
)
1/2
,
pp. 29-57
Persistent link: https://www.econbiz.de/10003975266
Saved in:
4
Alpha-robust mean-variance reinsurance-investment strategy
Li, Bin
;
Li, Danping
;
Xiong, Dewen
- In:
Journal of economic dynamics & control
70
(
2016
),
pp. 101-123
Persistent link: https://www.econbiz.de/10011708658
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5
Neyman-Pearson hedging and dynamic measures of risk
Kohlmann, Michael
-
2000
Persistent link: https://www.econbiz.de/10001475180
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6
Optimal control of linear stochastic systems with singular costs, and the mean-variance hedging problem with stochastic market conditions
Kohlmann, Michael
-
2000
Persistent link: https://www.econbiz.de/10001475182
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7
(Reflected) backward stochastic differential equations and contingent claims
Kohlmann, Michael
-
1999
Persistent link: https://www.econbiz.de/10001387121
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8
(Reflected) backward stochastic differential equations and contingent claims
Kohlmann, Michael
-
1999
We review the relations between adjoints of stochastic control problems with the derivative of the value function, and the latter with the value function of a stopping problem. These results are applied to the pricing of contingent claims.
Persistent link: https://www.econbiz.de/10011544985
Saved in:
9
A note on mean-variance hedging of non-attainable claims
Kohlmann, Michael
;
Peisl, Bernhard
-
2000
Persistent link: https://www.econbiz.de/10001450614
Saved in:
10
BSDES with stochastic Lipschitz condition
Bender, Christian
;
Kohlmann, Michael
-
2000
Persistent link: https://www.econbiz.de/10001450618
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