Busching, William; Hintz, Delphine; Mostovyi, Oleksii; Pozdnyakov, Alexey Fair pricing and hedging under small perturbations of the numéraire on a finite probability space. (English) Zbl 1512.91139 Involve 15, No. 4, 649-668 (2022). MSC: 91G20 60G42 PDFBibTeX XMLCite \textit{W. Busching} et al., Involve 15, No. 4, 649--668 (2022; Zbl 1512.91139) Full Text: DOI arXiv
Boese, Sarah; Cui, Tracy; Johnston, Samuel; Molino, Gianmarco; Mostovyi, Oleksii Stability and asymptotic analysis of the Föllmer-Schweizer decomposition on a finite probability space. (English) Zbl 1470.60108 Involve 13, No. 4, 607-623 (2020). MSC: 60G07 91G10 91G20 93E20 93E24 PDFBibTeX XMLCite \textit{S. Boese} et al., Involve 13, No. 4, 607--623 (2020; Zbl 1470.60108) Full Text: DOI arXiv
Biswas, Arunangshu; Goswami, Anindya; Overbeck, Ludger Option pricing in a regime switching stochastic volatility model. (English) Zbl 1393.91131 Stat. Probab. Lett. 138, 116-126 (2018). MSC: 91G20 60H30 PDFBibTeX XMLCite \textit{A. Biswas} et al., Stat. Probab. Lett. 138, 116--126 (2018; Zbl 1393.91131) Full Text: DOI arXiv
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra Unit-linked life insurance policies: optimal hedging in partially observable market models. (English) Zbl 1395.91247 Insur. Math. Econ. 76, 149-163 (2017). MSC: 91B30 60G35 60G48 91G20 PDFBibTeX XMLCite \textit{C. Ceci} et al., Insur. Math. Econ. 76, 149--163 (2017; Zbl 1395.91247) Full Text: DOI arXiv
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. (English) Zbl 1308.91077 Insur. Math. Econ. 60, 47-60 (2015). MSC: 91B30 60J25 60G35 60G55 PDFBibTeX XMLCite \textit{C. Ceci} et al., Insur. Math. Econ. 60, 47--60 (2015; Zbl 1308.91077) Full Text: DOI arXiv
Okhrati, Ramin; Balbás, Alejandro; Garrido, José Hedging of defaultable claims in a structural model using a locally risk-minimizing approach. (English) Zbl 1348.60067 Stochastic Processes Appl. 124, No. 9, 2868-2891 (2014). MSC: 60G48 60G51 91G80 PDFBibTeX XMLCite \textit{R. Okhrati} et al., Stochastic Processes Appl. 124, No. 9, 2868--2891 (2014; Zbl 1348.60067) Full Text: DOI arXiv
Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco BSDEs under partial information and financial applications. (English) Zbl 1329.60174 Stochastic Processes Appl. 124, No. 8, 2628-2653 (2014). MSC: 60H10 60H30 91B30 91G80 PDFBibTeX XMLCite \textit{C. Ceci} et al., Stochastic Processes Appl. 124, No. 8, 2628--2653 (2014; Zbl 1329.60174) Full Text: DOI arXiv
Goutte, Stéphane; Oudjane, Nadia; Russo, Francesco Variance optimal hedging for continuous time additive processes and applications. (English) Zbl 1306.60047 Stochastics 86, No. 1, 147-185 (2014). MSC: 60G51 60J25 60J75 60H05 91G10 91G80 PDFBibTeX XMLCite \textit{S. Goutte} et al., Stochastics 86, No. 1, 147--185 (2014; Zbl 1306.60047) Full Text: DOI arXiv
Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard Local risk-minimization under the benchmark approach. (English) Zbl 1308.91157 Math. Financ. Econ. 8, No. 2, 109-134 (2014). Reviewer: Alexander Szimayer (Hamburg) MSC: 91G20 PDFBibTeX XMLCite \textit{F. Biagini} et al., Math. Financ. Econ. 8, No. 2, 109--134 (2014; Zbl 1308.91157) Full Text: DOI arXiv
Wang, Xingchun; Wang, Yongjin Hedging strategies for discretely monitored Asian options under Lévy processes. (English) Zbl 1285.91132 J. Ind. Manag. Optim. 10, No. 4, 1209-1224 (2014). MSC: 91G20 60G51 91G60 PDFBibTeX XMLCite \textit{X. Wang} and \textit{Y. Wang}, J. Ind. Manag. Optim. 10, No. 4, 1209--1224 (2014; Zbl 1285.91132) Full Text: DOI
Wang, Xingchun; Wang, Yongjin Variance-optimal hedging for target volatility options. (English) Zbl 1275.91127 J. Ind. Manag. Optim. 10, No. 1, 207-218 (2014). MSC: 91G10 60G51 PDFBibTeX XMLCite \textit{X. Wang} and \textit{Y. Wang}, J. Ind. Manag. Optim. 10, No. 1, 207--218 (2014; Zbl 1275.91127) Full Text: DOI
Goutte, Stéphane; Oudjane, Nadia; Russo, Francesco On some expectation and derivative operators related to integral representations of random variables with respect to a PII process. (English) Zbl 1288.60058 Stochastic Anal. Appl. 31, No. 1, 108-141 (2013). Reviewer: Antonis Papapantoleon (Berlin) MSC: 60G51 60H05 91G20 PDFBibTeX XMLCite \textit{S. Goutte} et al., Stochastic Anal. Appl. 31, No. 1, 108--141 (2013; Zbl 1288.60058) Full Text: DOI arXiv
Radchenko, V. M. Minimum variance hedging in a model with jumps at Poisson random times. (Ukrainian, English) Zbl 1224.91162 Teor. Jmovirn. Mat. Stat. 78, 159-174 (2008); translation in Theory Probab. Math. Stat. 78, 175-190 (2009). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 91G20 60H05 62P05 PDFBibTeX XMLCite \textit{V. M. Radchenko}, Teor. Ĭmovirn. Mat. Stat. 78, 159--174 (2008; Zbl 1224.91162); translation in Theory Probab. Math. Stat. 78, 175--190 (2009) Full Text: DOI
Schweizer, Martin 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 PDFBibTeX XMLCite \textit{M. Schweizer}, Banach Cent. Publ. 83, 213--229 (2008; Zbl 1153.91560)
Radchenko, V. M. Variance-minimizing hedging in a model with jumps at deterministic times. (English. Russian original) Zbl 1255.91407 Theory Probab. Appl. 51, No. 3, 536-545 (2007); translation from Teor. Veroyatn. Primen. 51, No. 3, 608-618 (2007). MSC: 91G20 60J75 91B25 PDFBibTeX XMLCite \textit{V. M. Radchenko}, Theory Probab. Appl. 51, No. 3, 536--545 (2007; Zbl 1255.91407); translation from Teor. Veroyatn. Primen. 51, No. 3, 608--618 (2007) Full Text: DOI
Hubalek, Friedrich; Kallsen, Jan; Krawczyk, Leszek Variance-optimal hedging for processes with stationary independent increments. (English) Zbl 1189.91206 Ann. Appl. Probab. 16, No. 2, 853-885 (2006). MSC: 91G20 60H30 60H05 44A10 60G51 PDFBibTeX XMLCite \textit{F. Hubalek} et al., Ann. Appl. Probab. 16, No. 2, 853--885 (2006; Zbl 1189.91206) Full Text: DOI arXiv
Wang, Chun-fa Locally risk-minimizing hedging strategies for general payment process. (English) Zbl 1010.60062 Math. Appl. 15, No. 2, 126-131 (2002). Reviewer: Gheorghe Stoica (Saint John NB) MSC: 60H30 91B28 60G44 PDFBibTeX XMLCite \textit{C.-f. Wang}, Math. Appl. 15, No. 2, 126--131 (2002; Zbl 1010.60062)
Choulli, Tahir; Krawczyk, Leszek; Stricker, Christophe \(\mathcal E\)-martingales and their applications in mathematical finance. (English) Zbl 0938.60032 Ann. Probab. 26, No. 2, 853-876 (1998). MSC: 60G48 60H05 91B28 PDFBibTeX XMLCite \textit{T. Choulli} et al., Ann. Probab. 26, No. 2, 853--876 (1998; Zbl 0938.60032) Full Text: DOI
Pham, Huyên; Rheinländer, Thorsten; Schweizer, Martin Mean-variance hedging for continuous processes: New proofs and examples. (English) Zbl 0894.90023 Finance Stoch. 2, No. 2, 173-198 (1998). MSC: 91B28 60H05 60G48 PDFBibTeX XMLCite \textit{H. Pham} et al., Finance Stoch. 2, No. 2, 173--198 (1998; Zbl 0894.90023) Full Text: DOI Link
Monat, Pascale; Stricker, Christophe Föllmer-Schweizer decomposition and mean-variance hedging for general claims. (English) Zbl 0830.60040 Ann. Probab. 23, No. 2, 605-628 (1995). Reviewer: D.Lepingle (Orléans) MSC: 60G48 60H05 91G80 PDFBibTeX XMLCite \textit{P. Monat} and \textit{C. Stricker}, Ann. Probab. 23, No. 2, 605--628 (1995; Zbl 0830.60040) Full Text: DOI
Schachermayer, Walter A counterexample of several problems in the theory of asset pricing. (English) Zbl 0884.90050 Math. Finance 3, No. 2, 217-229 (1993). MSC: 91B28 PDFBibTeX XMLCite \textit{W. Schachermayer}, Math. Finance 3, No. 2, 217--229 (1993; Zbl 0884.90050) Full Text: DOI