The Mean-Variance Hedging in a Bond Market with Jumps

DOI10.1080/07362994.2010.503463zbMath1202.91104OpenAlexW2067387660MaRDI QIDQ4932832

Dewen Xiong, Michael Kohlmann

Publication date: 7 October 2010

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

Full work available at URL: https://doi.org/10.1080/07362994.2010.503463

zbMATH Keywords

mean-variance hedgingbond market with jumpsBackward semimartingale equationvariance optimal martingale

Mathematics Subject Classification ID

Related Items (2)

Modeling the Forward CDS Spreads with Jumps ⋮ Defaultable Bond Markets with Jumps

Cites Work

• Calcul stochastique et problèmes de martingales
• \(\mathcal E\)-martingales and their applications in mathematical finance
• Towards a general theory of bond markets
• On \(L^2\)-projections on a space of stochastic integrals
• An extension of mean-variance hedging to the discontinuous case
• Approximation pricing and the variance-optimal martingale measure
• On the structure of general mean-variance hedging strategies
• Mean-Variance Hedging and Numeraire
• Mean Variance Hedging in a General Jump Model
• Bond Market Structure in the Presence of Marked Point Processes
• Minimal martingale measures for jump diffusion processes

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