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Quadratic hedging in affine stochastic volatility models
16 references·1 citing·36 second hop
Quadratic hedging in affine stochastic volatility models (2009)Quadratic hedging in affine stochastic vo…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…On the structure of general mean-variance hedging strategies (2007)On the structure of general m…Hedging with Options in Models with Jumps (2007)Hedging with Options in Model…Variance-optimal hedging for processes with stationary independent increments (2006)Variance-optimal hedging for …From Stochastic Calculus to Mathematical Finance (2006)From Stochastic Calculus to M…Financial Modelling with Jump Processes (2004)Financial Modelling with Jump…Stochastic Volatility for Lévy Processes (2003)Stochastic Volatility for Lév…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Affine processes and applications in finance (2003)Affine processes and applicat…Option Pricing, Interest Rates and Risk Management (2001)Option Pricing, Interest Rate…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets (2001)A Comparison of Two Quadratic…Optimal portfolios for logarithmic utility (2000)Optimal portfolios for logari…Mean‐Variance Hedging and Numéraire (1998)Mean‐Variance Hedging and Num…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Variance-Optimal Hedging in General Affine Stochastic Volatility Models (2010)Variance-Optimal Hedging in G…The Pricing of Options and Corporate Liabilities (1973)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)A Theory of the Term Structure of Interest Rates (1985)Arbitrage Theory in Continuous Time (2004)Hawkes Processes in Finance (2015)Optimum consumption and portfolio rules in a continuous-time model (1971)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Non-parametric calibration of jump–diffusion option pricing models (2004)Stochastic Integration and Differential Equations (2005)A Multivariate Jump-Driven Financial Asset Model (2006)Option Pricing Under a Mixed-Exponential Jump Diffusion Model (2011)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)Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach (2000)Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market (2004)Paris-Princeton Lectures on Mathematical Finance 2010 (2010)Time-changed Lévy processes and option pricing (2003)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Tails, Fears, and Risk Premia (2011)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)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

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  • 2007

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Hedging with Options in Models with Jumps
96 cited

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  • 2010Variance-Optimal Hedging in General Affine Stochastic Volatility Models24 cited