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Mean-Variance Hedging When There Are Jumps

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References

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2008Partial Information Linear Quadratic Control for Jump Diffusions45 cited
2013Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection44 cited
2013Mean-Variance Hedging on Uncertain Time Horizon in a Market with a Jump43 cited
2011Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market40 cited
2013Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach40 cited
2010Mean–Variance Hedging40 cited
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2014Pricing and hedging of variable annuities with state-dependent fees28 cited