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On $L^2$-projections on a space of stochastic integrals
12 references·15 citing·39 second hop
On $L^2$-projections on a space of stochastic integrals (1997)On $L^2$-projections on a space of stocha…Stochastic Integration and Differential Equations : A New Approach (2014)Stochastic Integration and Di…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Mean-variance hedging for continuous processes: New proofs and examples (1998)Mean-variance hedging for con…Weighted norm inequalities and hedging in incomplete markets (1997)Weighted norm inequalities an…The Variance-Optimal Martingale Measure for Continuous Processes (1996)The Variance-Optimal Martinga…Approximation pricing and the variance-optimal martingale measure (1996)Approximation pricing and the…Variance-Optimal Hedging in Discrete Time (1995)Variance-Optimal Hedging in D…On the minimal martingale measure and the möllmer-schweizer decomposition (1995)On the minimal martingale mea…Approximating Random Variables by Stochastic Integrals (1994)Approximating Random Variable…Mean-Variance Hedging in Continuous Time (1991)Mean-Variance Hedging in Cont…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Espaces de semi martingales et changement de probabilit� (1980)Espaces de semi martingales e…WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS (2015)WEAK AND STRONG NO-ARBITRAGE …Mean–Variance Hedging (2010)Mean–Variance HedgingLOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS (2009)LOCAL RISK MINIMIZATION FOR D…Quadratic Hedging Methods for Defaultable Claims (2007)Quadratic Hedging Methods for…MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET (2006)MARKOWITZ'S PORTFOLIO OPTIMIZ…Mean-Variance Hedging When There Are Jumps (2005)Mean-Variance Hedging When Th…Mean-Variance Hedging and Stochastic Control: Beyond the Brownian Setting (2004)Mean-Variance Hedging and Sto…Dynamic programming and mean‐variance hedging in discrete time (2004)Dynamic programming and mean‐…An extension of mean-variance hedging to the discontinuous case (2004)An extension of mean-variance…Backward Stochastic PDE and Imperfect Hedging (2003)Backward Stochastic PDE and I…On transformations of actuarial valuation principles (2001)On transformations of actuari…MEAN-VARIANCE HEDGING FOR PARTIALLY OBSERVED DRIFT PROCESSES (2001)MEAN-VARIANCE HEDGING FOR PAR…On quadratic hedging in continuous time (2000)On quadratic hedging in conti…Mean‐Variance Hedging for Stochastic Volatility Models (2000)Mean‐Variance Hedging for Sto…Dynamic L p -Hedging in Discrete Time under Cone Constraints (2000)Dynamic L p -Hedging in Discr…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits (2004)Theory of rational option pricing (2005)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Martingales and arbitrage in multiperiod securities markets (1979)Continuous Martingales and Brownian Motion (1999)On the Existence of Minimax Martingale Measures (2002)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market (2004)Brownian Motion and Stochastic Calculus (2007)Calcul Stochastique et Problèmes de Martingales (1979)A general version of the fundamental theorem of asset pricing (1994)The cumulant process and Esscher's change of measure (2002)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)Martingales and stochastic integrals in the theory of continuous trading (1981)Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Dynamic programming and mean-variance hedging (1999)Variance-optimal hedging for processes with stationary independent increments (2006)On the structure of general mean-variance hedging strategies (2007)The Pricing of Options on Assets with Stochastic Volatilities (1987)Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets (2000)Optimal Control and Hedging of Operations in the Presence of Financial Markets (2006)Stochastic differential equations and applications (2008)Time-consistent mean-variance portfolio selection in discrete and continuous time (2012)Hedging of contingent claims under incomplete information (1990)Option pricing by Esscher transforms. 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this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 2014Stochastic Integration and Differential Equations : A New Approach686 cited
  • 1991Mean-Variance Hedging in Continuous Time383 cited
  • 1995Variance-Optimal Hedging in Discrete Time332 cited
  • 1995On the minimal martingale measure and the möllmer-schweizer decomposition321 cited
  • 1996Approximation pricing and the variance-optimal martingale measure269 cited
  • 1996The Variance-Optimal Martingale Measure for Continuous Processes192 cited
  • 1994Approximating Random Variables by Stochastic Integrals179 cited
  • 1998Mean-variance hedging for continuous processes: New proofs and examples127 cited
  • 1997Weighted norm inequalities and hedging in incomplete markets118 cited
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Cited by

  • 2000On quadratic hedging in continuous time92 cited
  • 2000Mean‐Variance Hedging for Stochastic Volatility Models84 cited
  • 2005Mean-Variance Hedging When There Are Jumps78 cited

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2003
Backward Stochastic PDE and Imperfect Hedging
55 cited
  • 2004An extension of mean-variance hedging to the discontinuous case52 cited
  • 2004Mean-Variance Hedging and Stochastic Control: Beyond the Brownian Setting51 cited
  • 2000Dynamic L p -Hedging in Discrete Time under Cone Constraints45 cited
  • 2004Dynamic programming and mean‐variance hedging in discrete time43 cited
  • 2015WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS42 cited
  • 2001MEAN-VARIANCE HEDGING FOR PARTIALLY OBSERVED DRIFT PROCESSES42 cited
  • 2010Mean–Variance Hedging40 cited
  • 2006MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET37 cited
  • 2009LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS34 cited
  • 2001On transformations of actuarial valuation principles33 cited
  • 2007Quadratic Hedging Methods for Defaultable Claims32 cited