Add to ORKGThis paper gives an overview of the results and developments in the area of hedging contingent claims in an incomplete market. We study three hedging criteria. We first present the superhedging ap-proach. We then study the mean-variance criterion and finally, we de-scribe the shortfall risk minimization problem. From a mathematical viewpoint, these optimization problems lead to nonstandard stochastic control problems in PDE and new variants of decomposition theorems in stochastic analysis. ∗Lecture presented at ISFMA Symposium on Mathematical Finance, Fudan Universit
Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropria...
Abstract: This paper provides comparative theoretical and numerical results on risks, values and hed...
Abstract. We consider hedging of a path-dependent European style option with convex continuous payof...
This paper presents results on the convergence for hedging strategies in the setting of incomplete f...
This thesis deals with two optimization problems of rational investors, who want to maximize their e...
In incomplete financial markets not every contingent claim can be replicated by a self-financing str...
In this paper we consider the problem of hedging contingent claims on a stock under transaction cost...
We deal with the seller of a contingent claim who wants to hedge against the corresponding risk by ...
MASTER THESIS ABSTRACT TITLE: Trading Strategy in Incomplete Market AUTHOR: Tomáš Bunčák DEPARTMENT:...
This paper characterizes the upper hedging price for a contingent claim in an incomplete market in d...
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete mark...
The problem of pricing and hedging of contingent claims in incomplete markets has lead to the develo...
This paper extends the local risk-minimization criterion for hedging contingent claims, as introduce...
In incomplete financial markets not every given contingent claim can be replicated by a self-financi...
Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hed...
Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropria...
Abstract: This paper provides comparative theoretical and numerical results on risks, values and hed...
Abstract. We consider hedging of a path-dependent European style option with convex continuous payof...
This paper presents results on the convergence for hedging strategies in the setting of incomplete f...
This thesis deals with two optimization problems of rational investors, who want to maximize their e...
In incomplete financial markets not every contingent claim can be replicated by a self-financing str...
In this paper we consider the problem of hedging contingent claims on a stock under transaction cost...
We deal with the seller of a contingent claim who wants to hedge against the corresponding risk by ...
MASTER THESIS ABSTRACT TITLE: Trading Strategy in Incomplete Market AUTHOR: Tomáš Bunčák DEPARTMENT:...
This paper characterizes the upper hedging price for a contingent claim in an incomplete market in d...
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete mark...
The problem of pricing and hedging of contingent claims in incomplete markets has lead to the develo...
This paper extends the local risk-minimization criterion for hedging contingent claims, as introduce...
In incomplete financial markets not every given contingent claim can be replicated by a self-financi...
Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hed...
Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropria...
Abstract: This paper provides comparative theoretical and numerical results on risks, values and hed...
Abstract. We consider hedging of a path-dependent European style option with convex continuous payof...