Maximizing the Probability of a Perfect Hedge in the Case of Stochastic Interest Rate

DOI10.1080/01966324.2010.10737783zbMath1229.91292OpenAlexW2068031382WikidataQ58178195 ScholiaQ58178195MaRDI QIDQ3104339

Shuguang Zhang, Yanchu Liu

Publication date: 19 December 2011

Published in: American Journal of Mathematical and Management Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01966324.2010.10737783

zbMATH Keywords

inverse Laplace transformstochastic interest rategeometric Brownian motionVasicek modelCameron-Martin formulaquantile hedgingduality approachtime-changing for martingales

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Unnamed Item
• Maximizing the probability of a perfect hedge
• Quantile hedging
• A Generalized Cameron–Martin Formula with Applications to Partially Observed Dynamic Portfolio Optimization
• MAXIMIZING THE PROBABILITY OF ACHIEVING A GOAL IN THE CASE OF A PARTIALLY OBSERVED DRIFT PROCESS
• Optimal Control of Favorable Games with a Time Limit
• Reaching goals by a deadline: digital options and continuous-time active portfolio management
• MAXIMIZING THE PROBABILITY OF A PERFECT HEDGE USING AN IMPERFECTLY CORRELATED INSTRUMENT
• Evaluation of various Wiener integrals by use of certain Sturm-Liouville differential equations

This page was built for publication: Maximizing the Probability of a Perfect Hedge in the Case of Stochastic Interest Rate