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Insiders' hedging in a jump diffusion model
16 references·0 citing·33 second hop
Insiders' hedging in a jump diffusion model (2007)Insiders' hedging in a jump diffusion mod…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Mean-Variance Hedging When There Are Jumps (2005)Mean-Variance Hedging When Th…A General Stochastic Calculus Approach to Insider Trading (2005)A General Stochastic Calculus…Additional utility of insiders with imperfect dynamical information (2004)Additional utility of insider…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Option Pricing, Interest Rates and Risk Management (2001)Option Pricing, Interest Rate…Free lunch and arbitrage possibilities in a financial market model with an insider (2001)Free lunch and arbitrage poss…A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets (2001)A Comparison of Two Quadratic…Martingale representation theorems for initially enlarged filtrations (2000)Martingale representation the…Pricing contingent claims on stocks driven by Lévy processes (1999)Pricing contingent claims on …Mean-Variance Hedging for General Claims (1992)Mean-Variance Hedging for Gen…Option hedging for semimartingales (1991)Option hedging for semimartin…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Martingales and stochastic integrals in the theory of continuous trading (1981)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Theory of rational option pricing (2005)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)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)Approximating Random Variables by Stochastic Integrals (1994)The Variance-Optimal Martingale Measure for Continuous Processes (1996)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)The cumulant process and Esscher's change of measure (2002)The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures (2002)Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options (2004)Brownian Motion and Stochastic Calculus (2007)Calcul Stochastique et Problèmes de Martingales (1979)Variance-Optimal Hedging in Discrete Time (1995)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Option pricing and Esscher transform under regime switching (2005)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)White noise analysis for Lévy processes (2003)Bilateral gamma distributions and processes in financial mathematics (2007)Tempered stable distributions and processes (2013)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 1985Hedging of non-redundant contingent claims459 cited
  • 1991Option hedging for semimartingales379 cited
  • 1999Pricing contingent claims on stocks driven by Lévy processes282 cited
  • 1992Mean-Variance Hedging for General Claims246 cited
  • 2001Option Pricing, Interest Rates and Risk Management211 cited
  • 2001A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets132 cited
  • 2005A General Stochastic Calculus Approach to Insider Trading125 cited
  • 2000Martingale representation theorems for initially enlarged filtrations104 cited
  • 2005Mean-Variance Hedging When There Are Jumps78 cited
  • 2001Free lunch and arbitrage possibilities in a financial market model with an insider76 cited
  • 2004Additional utility of insiders with imperfect dynamical information

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