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Quadratic Hedging of Basis Risk
16 references·3 citing·39 second hop
Quadratic Hedging of Basis Risk (2015)Quadratic Hedging of Basis RiskFrom Stochastic Calculus to Mathematical Finance (2006)From Stochastic Calculus to M…Stochastic Calculus for Finance II (2004)Stochastic Calculus for Finan…Performance of utility-based strategies for hedging basis risk (2004)Performance of utility-based …VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)VALUATION OF CLAIMS ON NONTRA…The relaxed investor and parameter uncertainty (2001)The relaxed investor and para…Option Pricing, Interest Rates and Risk Management (2001)Option Pricing, Interest Rate…A solution approach to valuation with unhedgeable risks (2001)A solution approach to valuat…A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets (2001)A Comparison of Two Quadratic…On quadratic hedging in continuous time (2000)On quadratic hedging in conti…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…On the minimal martingale measure and the möllmer-schweizer decomposition (1995)On the minimal martingale mea…Mean-Variance Hedging for General Claims (1992)Mean-Variance Hedging for Gen…Option hedging for semimartingales (1991)Option hedging for semimartin…Mean-Variance Hedging in Continuous Time (1991)Mean-Variance Hedging in Cont…A stochastic calculus model of continuous trading: Complete markets (1983)A stochastic calculus model o…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Futures Cross-Hedging with a Stationary Basis (2012)Futures Cross-Hedging with a …Utility-Based Valuation and Hedging of Basis Risk With Partial Information (2010)Utility-Based Valuation and H…Cross hedging with stochastic correlation (2010)Cross hedging with stochastic…Optimum consumption and portfolio rules in a continuous-time model (1971)Stochastic Differential Equations (2003)Controlled Markov Processes and Viscosity Solutions (2005)Indifference Pricing (2008)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)An Intertemporal Capital Asset Pricing Model (1973)Martingales and arbitrage in multiperiod securities markets (1979)072103 (E50, M20) Option pricing by Esscher transforms (1995)Stochastic Processes for Insurance & Finance (1999)Stochastic Integration and Differential Equations (2005)Calcul Stochastique et Problèmes de Martingales (1979)A general version of the fundamental theorem of asset pricing (1994)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)A Guided Tour through Quadratic Hedging Approaches (2010)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)The Variance Gamma (V.G.) Model for Share Market Returns (1990)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Brownian Motion and Stochastic Calculus (2007)Partial Differential Equations (2010)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)A critical review of Real Options thinking for valuing investment flexibility in Smart Grids and low carbon energy systems (2015)Real options theory in strategic management (2016)Mean field and n‐agent games for optimal investment under relative performance criteria (2019)Hedging of contingent claims under incomplete information (1990)Arbitrage Theory in Continuous Time (2004)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)A Liquidity-Based Theory of Closed-End Funds (2008)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)
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References

  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2004Stochastic Calculus for Finance II1,675 cited
  • 1983A stochastic calculus model of continuous trading: Complete markets431 cited
  • 1991Mean-Variance Hedging in Continuous Time383 cited
  • 1991Option hedging for semimartingales379 cited
  • 2001A solution approach to valuation with unhedgeable risks330 cited
  • 1995On the minimal martingale measure and the möllmer-schweizer decomposition321 cited
  • 2002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION257 cited
  • 1992Mean-Variance Hedging for General Claims246 cited
  • 2001Option Pricing, Interest Rates and Risk Management211 cited
  • 2001The relaxed investor and parameter uncertainty146 cited
  • 2001A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets132 cited
  • 2006From Stochastic Calculus to Mathematical Finance112 cited
  • 2000On quadratic hedging in continuous time92 cited
  • 2004Performance of utility-based strategies for hedging basis risk

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Cited by

  • 2010Cross hedging with stochastic correlation21 cited
  • 2010Utility-Based Valuation and Hedging of Basis Risk With Partial Information19 cited
  • 2012Futures Cross-Hedging with a Stationary Basis15 cited