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Optimal Hedging with Basis Risk
9 references·14 citing·39 second hop
Optimal Hedging with Basis Risk (2006)Optimal Hedging with Basis RiskAn example of indifference prices under exponential preferences (2004)An example of indifference pr…VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)VALUATION OF CLAIMS ON NONTRA…Real options with constant relative risk aversion (2002)Real options with constant re…Utility maximization in incomplete markets with random endowment (2001)Utility maximization in incom…Optimal investment in incomplete markets when wealth may become negative (2001)Optimal investment in incompl…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS (2010)PRICING AND HEDGING OF DERIVA…Exponential utility maximization under partial information (2009)Exponential utility maximizat…Horizon-unbiased utility functions (2007)Horizon-unbiased utility func…Asymptotic analysis of utility-based hedging strategies for small number of contingent claims (2007)Asymptotic analysis of utilit…OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS (2006)OPTIMAL STATIC–DYNAMIC HEDGES…PRICING PRECIPITATION BASED DERIVATIVES (2005)PRICING PRECIPITATION BASED D…A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets (2005)A PDE representation of the d…Performance of utility-based strategies for hedging basis risk (2004)Performance of utility-based …Explicit solutions to an optimal portfolio choice problem with stochastic income (2004)Explicit solutions to an opti…Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random (2004)Bounds and Asymptotic Approxi…A valuation algorithm for indifference prices in incomplete markets (2004)A valuation algorithm for ind…Pricing early exercise contracts in incomplete markets (2003)Pricing early exercise contra…Optimal Investment in Incomplete Financial Markets (2002)Optimal Investment in Incompl…Rational Hedging and Valuation with Utility-Based Preferences (2001)Rational Hedging and Valuatio…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Pricing derivatives of American and game type in incomplete markets (2004)Wealth-path dependent utility maximization in incomplete markets (2004)Optimal Investments for Robust Utility Functionals in Complete Market Models (2005)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)Martingales and arbitrage in multiperiod securities markets (1979)Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)On the Existence of Minimax Martingale Measures (2002)Necessary and sufficient conditions in the problem of optimal investment in incomplete markets (2003)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)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)Optimal replication of contingent claims under transaction costs (1989)Convex measures of risk and trading constraints (2002)Dynamic exponential utility indifference valuation (2005)MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE (2010)Paris-Princeton Lectures on Mathematical Finance 2010 (2010)A general version of the fundamental theorem of asset pricing (1994)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Investment under Uncertainty (1994)Investment Under Uncertainty. 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this work references cited by second hop

References

  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1998Methods of Mathematical Finance888 cited
  • 2004An example of indifference prices under exponential preferences266 cited
  • 2002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION257 cited
  • 2001Optimal investment in incomplete markets when wealth may become negative246 cited
  • 2001Utility maximization in incomplete markets with random endowment229 cited
  • 2002Real options with constant relative risk aversion151 cited

Cited by

  • 2002Optimal Investment in Incomplete Financial Markets99 cited
  • 2004A valuation algorithm for indifference prices in incomplete markets92 cited
  • 2004Explicit solutions to an optimal portfolio choice problem with stochastic income88 cited
  • 2004Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random85 cited
  • 2004Performance of utility-based strategies for hedging basis risk83 cited
  • 2005A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets

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79 cited
  • 2007Horizon-unbiased utility functions76 cited
  • 2003Pricing early exercise contracts in incomplete markets51 cited
  • 2007Asymptotic analysis of utility-based hedging strategies for small number of contingent claims51 cited
  • 2001Rational Hedging and Valuation with Utility-Based Preferences47 cited
  • 2010PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS45 cited
  • 2009Exponential utility maximization under partial information43 cited
  • 2006OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS42 cited
  • 2005PRICING PRECIPITATION BASED DERIVATIVES35 cited