SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
On the structure of general mean-variance hedging strategies
14 references·16 citing·32 second hop
On the structure of general mean-variance hedging strategies (2007)On the structure of general mean-variance…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market (2004)Quadratic Hedging and Mean-Va…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Dynamic programming and mean-variance hedging (1999)Dynamic programming and mean-…Mean‐Variance Hedging and Numéraire (1998)Mean‐Variance Hedging and Num…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…On the minimal martingale measure and the möllmer-schweizer decomposition (1995)On the minimal martingale mea…Approximating Random Variables by Stochastic Integrals (1994)Approximating Random Variable…Option hedging for semimartingales (1991)Option hedging for semimartin…Stochastic Differential Equations (1990)Stochastic Differential Equat…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting (2018)Fair valuation of insurance l…THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS (2015)THE GENERAL STRUCTURE OF OPTI…The General Structure of Optimal Investment and Consumption with Small Transaction Costs (2013)The General Structure of Opti…The Bellman equation for power utility maximization with semimartingales (2012)The Bellman equation for powe…Portfolios and risk premia for the long run (2012)Portfolios and risk premia fo…Mean-variance hedging via stochastic control and BSDEs for general semimartingales (2012)Mean-variance hedging via sto…UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (2010)UTILITY MAXIMIZATION IN AFFIN…The opportunity process for optimal consumption and investment with power utility (2010)The opportunity process for o…Pricing and Hedging in Exponential Lévy Models: Review of Recent Results (2010)Pricing and Hedging in Expone…Mean–Variance Hedging (2010)Mean–Variance HedgingBETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM (2010)BETTER THAN DYNAMIC MEAN‐VARI…HEDGING BY SEQUENTIAL REGRESSIONS REVISITED (2009)HEDGING BY SEQUENTIAL REGRESS…MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION (2008)MEAN–VARIANCE HEDGING AND OPT…Optimal investment for an insurer: The martingale approach (2006)Optimal investment for an ins…MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET (2006)MARKOWITZ'S PORTFOLIO OPTIMIZ…An extension of mean-variance hedging to the discontinuous case (2004)An extension of mean-variance…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)Theory of Rational Option Pricing (1973)Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits (2004)Martingales and arbitrage in multiperiod securities markets (1979)Continuous Martingales and Brownian Motion (1999)On the Existence of Minimax Martingale Measures (2002)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Brownian Motion and Stochastic Calculus (2007)A general version of the fundamental theorem of asset pricing (1994)The cumulant process and Esscher's change of measure (2002)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)Leaning Against the Wind (2007)Measuring Downside Risk - Realised Semivariance (2008)Functional Itô calculus (2019)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)Mean-Variance Hedging for General Claims (1992)Variance-Optimal Hedging in Discrete Time (1995)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Option pricing and Esscher transform under regime switching (2005)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
this work references cited by second hop

References

  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 1985Hedging of non-redundant contingent claims459 cited
  • 1991Option hedging for semimartingales379 cited
  • 1995On the minimal martingale measure and the möllmer-schweizer decomposition321 cited
  • 1990Stochastic Differential Equations319 cited
  • 1996Approximation pricing and the variance-optimal martingale measure269 cited
  • 1996The Variance-Optimal Martingale Measure for Continuous Processes192 cited
  • 1994Approximating Random Variables by Stochastic Integrals179 cited
  • 1998Mean‐Variance Hedging and Numéraire179 cited
  • 2004Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market177 cited
  • 1999Dynamic programming and mean-variance hedging152 cited

Cited by

  • 2010BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM130 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2006Optimal investment for an insurer: The martingale approach101 cited
  • 2010Pricing and Hedging in Exponential Lévy Models: Review of Recent Results100 cited
  • 2012Portfolios and risk premia for the long run67 cited
  • 2015THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS64 cited
  • 2012Mean-variance hedging via stochastic control and BSDEs for general semimartingales64 cited
  • 2004An extension of mean-variance hedging to the discontinuous case52 cited
  • 2010UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS50 cited
  • 2009HEDGING BY SEQUENTIAL REGRESSIONS REVISITED49 cited
  • 2008MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION48 cited
  • 2010Mean–Variance Hedging40 cited
  • 2006MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET37 cited
  • 2013The General Structure of Optimal Investment and Consumption with Small Transaction Costs35 cited
  • 2010The opportunity process for optimal consumption and investment with power utility32 cited
  • 2012The Bellman equation for power utility maximization with semimartingales30 cited
  • 2018Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting29 cited