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Approximating Random Variables by Stochastic Integrals
9 references·16 citing·39 second hop
Approximating Random Variables by Stochastic Integrals (1994)Approximating Random Variables by Stochas…Stochastic Integration and Differential Equations : A New Approach (2014)Stochastic Integration and Di…Variance-Optimal Hedging in Discrete Time (1995)Variance-Optimal Hedging in D…Mean-Variance Hedging for General Claims (1992)Mean-Variance Hedging for Gen…Option hedging for semimartingales (1991)Option hedging for semimartin…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…On the theory of option pricing (1984)On the theory of option prici…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…On Square Integrable Martingales (1967)On Square Integrable Martinga…Time-consistent mean-variance portfolio selection in discrete and continuous time (2012)Time-consistent mean-variance…Pricing and Hedging in Exponential Lévy Models: Review of Recent Results (2010)Pricing and Hedging in Expone…No Arbitrage and General Semimartingales (2008)No Arbitrage and General Semi…On the structure of general mean-variance hedging strategies (2007)On the structure of general m…Variance-optimal hedging for processes with stationary independent increments (2006)Variance-optimal hedging for …Optimal investment for an insurer: The martingale approach (2006)Optimal investment for an ins…Multidimensional Backward Stochastic Riccati Equations and Applications (2003)Multidimensional Backward Sto…On the minimal entropy martingale measure (2002)On the minimal entropy martin…Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean–variance hedging (2002)Global adapted solution of on…On quadratic hedging in continuous time (2000)On quadratic hedging in conti…Dynamic programming and mean-variance hedging (1999)Dynamic programming and mean-…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…On $L^2$-projections on a space of stochastic integrals (1997)On $L^2$-projections on a spa…Numerical Analysis of American Option Pricing in a Jump-Diffusion Model (1997)Numerical Analysis of America…Follmer-Schweizer Decomposition and Mean-Variance Hedging for General Claims (1995)Follmer-Schweizer Decompositi…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Optimization Problems in the Theory of Continuous Trading (1989)A generalized clark representation formula, with application to optimal portfolios (1991)Optional decompositions under constraints (1997)Theory of rational option pricing (2005)An Intertemporal Capital Asset Pricing Model (1973)Martingales and arbitrage in multiperiod securities markets (1979)On Quadratic Cost Criteria for Option Hedging (1994)The Variance-Optimal Martingale Measure for Continuous Processes (1996)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Stochastic Integration and Differential Equations (2005)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Martingales versus PDEs in finance: an equivalence result with examples (2000)Optimal Control and Hedging of Operations in the Presence of Financial Markets (2006)Brownian Motion and Stochastic Calculus (2007)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Convex Duality in Constrained Portfolio Optimization (1992)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)An Equilibrium Model with Restricted Stock Market Participation (1998)Calcul Stochastique et Problèmes de Martingales (1979)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Option pricing and Esscher transform under regime switching (2005)Hedging of contingent claims under incomplete information (1990)Approximation pricing and the variance-optimal martingale measure (1996)Option pricing by Esscher transforms. 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this work references cited by second hop

References

  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 2014Stochastic Integration and Differential Equations : A New Approach686 cited
  • 1967On Square Integrable Martingales617 cited
  • 1983A stochastic calculus model of continuous trading: Complete markets431 cited
  • 1991Option hedging for semimartingales379 cited
  • 1995Variance-Optimal Hedging in Discrete Time332 cited
  • 1984On the theory of option pricing288 cited
  • 1992Mean-Variance Hedging for General Claims246 cited

Cited by

  • 1999Dynamic programming and mean-variance hedging152 cited
  • 2007On the structure of general mean-variance hedging strategies142 cited
  • 2006Variance-optimal hedging for processes with stationary independent increments128 cited
  • 1998Mean-variance hedging for continuous processes: New proofs and examples127 cited
  • 2002On the minimal entropy martingale measure123 cited
  • 1997Weighted norm inequalities and hedging in incomplete markets118 cited

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2012
Time-consistent mean-variance portfolio selection in discrete and continuous time
118 cited
  • 1997Numerical Analysis of American Option Pricing in a Jump-Diffusion Model101 cited
  • 2006Optimal investment for an insurer: The martingale approach101 cited
  • 2010Pricing and Hedging in Exponential Lévy Models: Review of Recent Results100 cited
  • 2008No Arbitrage and General Semimartingales96 cited
  • 1997On $L^2$-projections on a space of stochastic integrals93 cited
  • 2000On quadratic hedging in continuous time92 cited
  • 2002Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean–variance hedging84 cited
  • 2003Multidimensional Backward Stochastic Riccati Equations and Applications81 cited
  • 1995Follmer-Schweizer Decomposition and Mean-Variance Hedging for General Claims77 cited