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Found 26 Documents (Results 1–26)

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Local risk-minimization for multidimensional assets and payment streams. (English) Zbl 1153.91560

Stettner, Łukasz (ed.), Advances in mathematics of finance. Contributed papers of the 2nd general AMaMeF (advanced mathematical methods of finance) conference and Banach Center conference on advances in mathematics of finance, Bȩdlewo, Poland, April 30–May 5, 2007. Warsaw: Polish Academy of Sciences, Institute of Mathematics. Banach Center Publications 83, 213-229 (2008).
MSC:  91G10 60G48 60G35
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The Föllmer-Schweizer decomposition. (English) Zbl 0877.60029

Engelbert, Hans-Jürgen (ed.) et al., Stochastic processes and related topics. Proceedings of the 10th winter school, Siegmundsberg, Germany, March 13–19, 1994. Amsterdam: Gordon and Breach Publishers. Stochastics Monogr. 10, 77-89 (1996).
MSC:  60G44
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Two applications of the Galtchouk-Kunita-Watanabe decomposition. (Deux applications de la décomposition de Galtchouk-Kunita-Watanabe.) (French) Zbl 0877.60028

Azéma, J. (ed.) et al., Séminaire de probabilités XXX. Berlin: Springer. Lect. Notes Math. 1626, 12-23 (1996).
MSC:  60G44
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