On quadratic hedging in continuous time

被引：0

作者：

Huyên Pham

机构：

[1] Laboratoire de Probabilités et Modèles Aléatoires,

[2] UMR 7599,undefined

[3] Université Paris 7,undefined

[4] 2 Place Jussieu,undefined

[5] 75251 Paris Cedex 05,undefined

[6] France (e-mail: pham@gauss.math.jussieu.fr),undefined

[7] CREST,undefined

[8] Laboratoire de Finance-Assurance,undefined

[9] 15 Blvd Gabrie'l Péri,undefined

[10] 92245 Malakoff Cedex.,undefined

来源：

Mathematical Methods of Operations Research | 2000年 / 51卷

关键词：

Key words: Incomplete market; quadratic hedging; optimization; semimartingales; stochastic integrals; Kunita-Watanabe projection; L2-projection; minimal martingale measure; variance-optimal martingale measure;

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中图分类号：

学科分类号：

摘要：

We review the main results in the theory of quadratic hedging in a general incomplete model of continuous trading with semimartingale price process. The objective is to hedge contingent claims by using portfolio strategies. We describe two types of criteria: the so-called (local) risk-minimization and the mean-variance approaches. From a mathematical viewpoint, these optimization problems lead to new variants of decomposition theorems in stochastic analysis.

引用

页码：315 / 339

页数：24