Mean-variance hedging for interest rate models with stochastic volatility.

DOI10.1007/S102030200000zbMath1042.91035OpenAlexW2008016491MaRDI QIDQ1862732

Francesca Biagini

Publication date: 2002

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s102030200000

zbMATH Keywords

hedgingincomplete marketsinterest rate model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (2)

Discrete hedging in the mean/variance model for European call options ⋮ New measure selection for Hunt-Devolder semi-Markov regime switching interest rate models

This page was built for publication: Mean-variance hedging for interest rate models with stochastic volatility.