scientific article

zbMath1311.60006MaRDI QIDQ3191915

Viktor Wolf

Publication date: 25 September 2014

Full work available at URL: http://www.freidok.uni-freiburg.de/volltexte/9664/pdf/dissertation_wolfviktor.pdf

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zbMATH Keywords

Lévy processesevolution systemsstochastic orderingsEsscher transformed martingale measuretime-inhomogeneous Markov processesoptimal trading strategiesoptimal hedging strategies

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Inequalities; stochastic orderings (60E15) Continuous-time Markov processes on general state spaces (60J25) Financial applications of other theories (91G80) Markov and semi-Markov decision processes (90C40) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models ⋮ On the Method of Optimal Portfolio Choice by Cost-Efficiency ⋮ Construction and Hedging of Optimal Payoffs in Lévy Models ⋮ Cost-efficiency in multivariate Lévy models

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