Mean-variance hedging with oil futures
type: Item
instance of: scholarly article
title: Mean-variance hedging with oil futures
zbMATH Open document ID: 1275.91126
author: Liao Wang
author: Johannes Wissel
published in: Finance and Stochastics
publication date: 2013-11-06T00:00:00Z
full work available at URL: https://hdl.handle.net/1813/23567
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 6223039
zbMATH Keywords: mean-variance hedging
zbMATH Keywords: fuel hedging
zbMATH Keywords: energy futures market
MaRDI profile type: Publication
OpenAlex ID: W2095749237
cites work: Optimal Control and Hedging of Operations in the Presence of Financial Markets
cites work: Q3160497
cites work: On the structure of general mean-variance hedging strategies
cites work: MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
cites work: The variance-optimal martingale measure for continuous processes
cites work: Attainable claims with \(p\)'th moments
cites work: Transform Analysis and Asset Pricing for Affine Jump-diffusions
cites work: Simplified mean-variance portfolio optimisation
cites work: Q3974816
cites work: Q5506191
cites work: Mean-variance hedging and numéraire
cites work: Continuous-time stochastic control and optimization with financial applications
cites work: Mean-variance hedging for continuous processes: New proofs and examples
cites work: On \(L^2\)-projections on a space of stochastic integrals
cites work: On the minimal martingale measure and the möllmer-schweizer decomposition
cites work: Approximation pricing and the variance-optimal martingale measure
cites work: A guided tour through quadratic hedging approaches
cites work: Complications with stochastic volatility models
DOI: 10.1007/S00780-013-0203-X
description: scientific article; zbMATH DE number 6223039