PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT

DOI10.1111/j.1467-9965.2002.tb00130.xzbMath1049.91073OpenAlexW2009841254MaRDI QIDQ4419301

K. Ronnie Sircar, Mattias Jonsson

Publication date: 13 August 2003

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2002.tb00130.x

zbMATH Keywords

dynamic programmingBellman equationutility maximizationLegendre transformation

Mathematics Subject Classification ID

Related Items (14)

Robust utility maximization under model uncertainty via a penalization approach ⋮ PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS ⋮ Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio ⋮ Cooperative Hedging in Incomplete Markets ⋮ Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions ⋮ Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon ⋮ Minimizing the probability of lifetime ruin under stochastic volatility ⋮ Performance of utility-based strategies for hedging basis risk ⋮ Cooperative hedging in the complete market under \(g\)-expectation constraint ⋮ Saddlepoint approximations for affine jump-diffusion models ⋮ Cooperative hedging with a higher interest rate for borrowing ⋮ Optimal static-dynamic hedges for exotic options under convex risk measures ⋮ Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations ⋮ Partial Hedging in Financial Markets with a Large Agent

Cites Work

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• Efficient hedging: cost versus shortfall risk
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• On dynamic measure of risk
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Stochastic volatility, smile & asymptotics
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

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