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ArticleLocal risk-minimization under the benchmark approach

Francesca Biagini2014

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Articlegreen2014

Local risk-minimization under the benchmark approach

Francesca Biagini · Alessandra Cretarola · Eckhard Platen

17 citations·0/0 files stored·Mathematics and Financial Economics

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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References

1973An Intertemporal Capital Asset Pricing Model 1999Continuous Martingales and Brownian Motion 2005Stochastic Integration and Differential Equations 2003Limit Theorems for Stochastic Processes 1997Martingale Methods in Financial Modelling 2004Credit Risk: Modeling, Valuation and Hedging 1990Hedging of contingent claims under incomplete information 2010A Guided Tour through Quadratic Hedging Approaches

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Year2014

Typearticle

Published2014-02-18

VenueMathematics and Financial Economics

ISSN-L1862-9660

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11579-014-0115-3

openalex_workW2142608441

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