Cross hedging with stochastic correlation

DOI10.1007/s00780-010-0148-2zbMath1259.91082OpenAlexW2137416576MaRDI QIDQ1761431

Stefan Ankirchner, Gregor Heyne

Publication date: 15 November 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-010-0148-2

zbMATH Keywords

correlationincomplete marketsBSDEcross hedginglocal risk minimisation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (5)

Differentiability of quadratic BSDEs generated by continuous martingales ⋮ Constructing analytically tractable ensembles of stochastic covariances with an application to financial data ⋮ Stability and hierarchy of quasi-stationary states: financial markets as an example ⋮ Pricing and hedging of variable annuities with state-dependent fees ⋮ BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk

Cites Work

• Differentiability of quadratic BSDEs generated by continuous martingales
• The Malliavin Calculus and Related Topics
• Exponential utility indifference valuation in two Brownian settings with stochastic correlation
• PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS
• Backward Stochastic Differential Equations in Finance
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• Probability
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