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On quadratic hedging in continuous time
16 references·8 citing·29 second hop
On quadratic hedging in continuous time (2000)On quadratic hedging in continuous timeA Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets (2000)The Minimal Entropy Martingal…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…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…Mean-Variance Hedging for General Claims (1992)Mean-Variance Hedging for Gen…Option hedging for semimartingales (1991)Option hedging for semimartin…Mean-Variance Hedging in Continuous Time (1991)Mean-Variance Hedging in Cont…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…On Square Integrable Martingales (1967)On Square Integrable Martinga…Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection (2013)Mean–variance optimal portfol…A STRUCTURAL RISK‐NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES (2012)A STRUCTURAL RISK‐NEUTRAL MOD…Mean–Variance Hedging (2010)Mean–Variance HedgingQuadratic hedging in affine stochastic volatility models (2009)Quadratic hedging in affine s…HEDGING BY SEQUENTIAL REGRESSIONS REVISITED (2009)HEDGING BY SEQUENTIAL REGRESS…A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market (2008)A locally risk-minimizing hed…On some recent aspects of stochastic control and their applications (2005)On some recent aspects of sto…Mean-Variance Hedging and Stochastic Control: Beyond the Brownian Setting (2004)Mean-Variance Hedging and Sto…The Pricing of Options and Corporate Liabilities (1973)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)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)Arbitrage Theory in Continuous Time (2004)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)Martingales and arbitrage in multiperiod securities markets (1979)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Stochastic integrals in the plane (1975)IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Time-changed Lévy processes and option pricing (2003)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Exponential Hedging and Entropic Penalties (2002)The cumulant process and Esscher's change of measure (2002)Option pricing and Esscher transform under regime switching (2005)A solution approach to valuation with unhedgeable risks (2001)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)
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References

  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1967On Square Integrable Martingales617 cited
  • 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets584 cited
  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 1985Hedging of non-redundant contingent claims459 cited
  • 1991Mean-Variance Hedging in Continuous Time383 cited
  • 1991Option hedging for semimartingales379 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
  • 1992Mean-Variance Hedging for General Claims246 cited
  • 1996The Variance-Optimal Martingale Measure for Continuous Processes

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192 cited

Cited by

  • 2005On some recent aspects of stochastic control and their applications92 cited
  • 2012A STRUCTURAL RISK‐NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES62 cited
  • 2004Mean-Variance Hedging and Stochastic Control: Beyond the Brownian Setting51 cited
  • 2009HEDGING BY SEQUENTIAL REGRESSIONS REVISITED49 cited
  • 2013Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection44 cited
  • 2008A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market43 cited
  • 2010Mean–Variance Hedging40 cited
  • 2009Quadratic hedging in affine stochastic volatility models26 cited