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Optimal Hedging with Basis Risk · Study

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ChapterOptimal Hedging with Basis Risk

Mark H. Davis2006

Chapter2006

Optimal Hedging with Basis Risk

103 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Risk Management in Financial Firms Risk and Portfolio Optimization

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References

1981Martingales and stochastic integrals in the theory of continuous trading 1998Methods of Mathematical Finance 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets 1998Methods of Mathematical Finance 2004An example of indifference prices under exponential preferences 2002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION 2001Optimal investment in incomplete markets when wealth may become negative 2001Utility maximization in incomplete markets with random endowment

Cited by

2002Optimal Investment in Incomplete Financial Markets 2004A valuation algorithm for indifference prices in incomplete markets 2004Explicit solutions to an optimal portfolio choice problem with stochastic income 2004Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random 2004Performance of utility-based strategies for hedging basis risk 2005A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2008Exponential utility indifference valuation in two Brownian settings with stochastic correlationarticle · 6 shared references 2006Robust projections in the class of martingale measuresarticle · 5 shared references 2001Rational Hedging and Valuation with Utility-Based Preferencesthesis · 5 shared references 2006OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONSarticle · 5 shared references 2002On the Existence of Minimax Martingale Measuresarticle · 4 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 4 shared references

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Year2006

Typechapter

Published2006-01-01

VenueSpringer eBooks

Languageen

Citations103

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-540-30788-4_8

openalex_workW201408140

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2007Horizon-unbiased utility functions

2003Pricing early exercise contracts in incomplete markets