Hedging with Residual Risk: A BSDE Approach

DOI10.1007/978-3-0348-0021-1_19zbMath1245.91094OpenAlexW2158648136MaRDI QIDQ2904884

Stefan Ankirchner, Peter Imkeller

Publication date: 24 August 2012

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0021-1_19

zbMATH Keywords

differentiabilityhedgingMalliavin calculusstochastic calculus of variationsBSDEsub-quadratic growthfinancial derivativesminimal variance hedgingutilitybased pricing

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 (1)

Utility-Based Valuation and Hedging of Basis Risk With Partial Information

Cites Work

• Real options with constant relative risk aversion
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• An example of indifference prices under exponential preferences
• Classical and variational differentiability of BSDEs with quadratic growth
• Utility maximization in incomplete markets
• Optimal Cross Hedging of Insurance Derivatives
• PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS
• SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• Performance of utility-based strategies for hedging basis risk
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