Techniques in stochastic analysis are presented in a continuous time framework.We then review methods in quadratic hedging approaches with focus on minimal variance hedging in a discrete time framework. We also consider specific exercises. We then relate the results obtained in quadratic hedging methods to the case of a discrete time market driven by a Markov process
We develop a flexible discrete-time hedging methodology that minimizes the expected value of any des...
In an incomplete market it is usually impossible to eliminate the intrinsic risk of an option. In th...
Abstract. In this paper we discuss the tractability of stochastic volatility models for pricing and ...
Abstract. Building on the work of Schweizer (1995) and Černy ́ and Kallsen (2007), we present discr...
Abstract: We solve the problem of approximating in L2 a given random variable H by stochastic integr...
We consider variance-optimal hedging when trading is restricted to a finite time set. Using Laplace ...
We solve the problem of approximating in L"2 a given random variable H by stochastic integrals ...
In this paper the general discrete time mean-variance hedging problem is solved by dynamic programmi...
In this paper we consider the mean-variance hedging problem of a continuous state space financial mo...
The first part of this thesis deals with approximations of stochastic integrals and discrete time he...
This paper provides comparative theoretical and numerical results on risks, values, and hedging stra...
This paper extends the notion of variance optimal hedging of contingent claims under the incomplete ...
We present a closed form solution for the optimal hedging strategy, in discrete time, of an option w...
We explicitly compute closed formulas for the minimal variance hedging strategy in discrete time of ...
This thesis is devoted to Markowitz's mean-variance portfolio selection problem in continuous time f...
We develop a flexible discrete-time hedging methodology that minimizes the expected value of any des...
In an incomplete market it is usually impossible to eliminate the intrinsic risk of an option. In th...
Abstract. In this paper we discuss the tractability of stochastic volatility models for pricing and ...
Abstract. Building on the work of Schweizer (1995) and Černy ́ and Kallsen (2007), we present discr...
Abstract: We solve the problem of approximating in L2 a given random variable H by stochastic integr...
We consider variance-optimal hedging when trading is restricted to a finite time set. Using Laplace ...
We solve the problem of approximating in L"2 a given random variable H by stochastic integrals ...
In this paper the general discrete time mean-variance hedging problem is solved by dynamic programmi...
In this paper we consider the mean-variance hedging problem of a continuous state space financial mo...
The first part of this thesis deals with approximations of stochastic integrals and discrete time he...
This paper provides comparative theoretical and numerical results on risks, values, and hedging stra...
This paper extends the notion of variance optimal hedging of contingent claims under the incomplete ...
We present a closed form solution for the optimal hedging strategy, in discrete time, of an option w...
We explicitly compute closed formulas for the minimal variance hedging strategy in discrete time of ...
This thesis is devoted to Markowitz's mean-variance portfolio selection problem in continuous time f...
We develop a flexible discrete-time hedging methodology that minimizes the expected value of any des...
In an incomplete market it is usually impossible to eliminate the intrinsic risk of an option. In th...
Abstract. In this paper we discuss the tractability of stochastic volatility models for pricing and ...