Stochastic regression and its application to hedging in finance

DOI10.1007/S11425-009-0083-XzbMath1183.62127OpenAlexW1974205916MaRDI QIDQ1042957

Zhi Liu, Bo Zhang, Bing-Yi Jing, Xin-Bing Kong

Publication date: 7 December 2009

Published in: Science in China. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-009-0083-x

zbMATH Keywords

semimartingalesstochastic integralsItô processstatistical risk management

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Linear inference, regression (62J99) Financial applications of other theories (91G80) Stochastic integrals (60H05)

Cites Work

• ANOVA for diffusions and Itō processes
• Rates of convergence to the local time of a diffusion
• On estimating the diffusion coefficient from discrete observations
• Stochastic Calculus
• Non‐parametric Kernel Estimation of the Coefficient of a Diffusion

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