Optimal hedging for fund and insurance managers with partially observable investment flows

DOI10.1080/14697688.2014.950320zbMath1396.91300arXiv1401.2314OpenAlexW3023173308MaRDI QIDQ4683056

Akihiko Takahashi, Masaaki Fujii

Publication date: 19 September 2018

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

Full work available at URL: https://arxiv.org/abs/1401.2314

zbMATH Keywords

queueingfilteringinsurancerandom measuremean-variance hedgingJackson's network

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

A polynomial scheme of asymptotic expansion for backward SDEs and option pricing ⋮ Optimal investment problem for an open-end fund with dynamic flows

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