We assume that there exist two kinds of investors in the market, the 𝔽-investors and the 𝔾-investors. The 𝔽-investors have the market information 𝔽, which is given by a <I>d</I>-dimensional Brownian motion W = (W₁,...;W_d)'</I> as well as an integer-valued random measure <I>μ(du, dy)</I>. The market...</i></i>

We consider the mean-variance hedging of a contingent claim H when the discounted price process S is an [image omitted]-valued quasi-left continuous semimartingale with bounded jumps. We relate the variance-optimal martingale measure (VOMM) to a backward semimartingale equation (BSE) and show...