Mean-variance hedging in continuous-time with stochastic interest rate

DOI10.1080/17442509908834201zbMath0936.91021OpenAlexW2008075251MaRDI QIDQ4700347

Jun Sekine

Publication date: 14 March 2000

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509908834201

zbMATH Keywords

Feynman-Kac formulastochastic interestmean-variance hedging

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Mean-variance hedging in continuous time
• Weighted norm inequalities and hedging in incomplete markets
• Mean-variance hedging for continuous processes: New proofs and examples
• A note on the forward measure
• On \(L^2\)-projections on a space of stochastic integrals
• Mean-Variance Hedging and Numeraire

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