Quantification of Model Risk in Quadratic Hedging in Finance

DOI10.1007/978-3-319-23425-0_8zbMath1390.91296OpenAlexW2229042000MaRDI QIDQ2801795

Michèle Vanmaele, Asma Khedher, Catherine Daveloose

Publication date: 22 April 2016

Published in: Stochastics of Environmental and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-23425-0_8

zbMATH Keywords

robustnessincomplete marketmodel riskmean-variance hedgingquadratic hedginggeometric Lévy models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Model risk and discretisation of locally risk-minimising strategies

Cites Work

• Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
• Jump-adapted discretization schemes for Lévy-driven SDEs
• Actuarial bridges to dynamic hedging and option pricing
• The minimal entropy martingale measures for geometric Lévy processes
• Approximations of small jumps of Lévy processes with a view towards simulation
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Backward Stochastic Differential Equations in Finance
• Minimal martingale measures for jump diffusion processes
• A note on convergence of option prices and their Greeks for Lévy models

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