Minimal-Variance Hedging in Large Financial Markets: Random Fields Approach

DOI10.1080/07362990903417979zbMath1195.60095OpenAlexW2053625587MaRDI QIDQ3405552

Giulia Di Nunno, Inga Baadshaug Eide

Publication date: 10 February 2010

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/10499

zbMATH Keywords

bond marketrandom fieldstochastic integrallarge marketstochastic derivativeminimal variance hedgingmartingale random field

Mathematics Subject Classification ID

Related Items (8)

Maximizing expected utility in the arbitrage pricing model ⋮ A maximum principle for mean-field SDEs with time change ⋮ Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises ⋮ Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps ⋮ BSDEs driven by time-changed Lévy noises and optimal control ⋮ Martingale representation for Poisson processes with applications to minimal variance hedging ⋮ Set-Valued Stochastic Integrals and Equations with Respect to Two-Parameter Martingales ⋮ On stochastic control for time changed Lévy dynamics

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