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Author Schweizer, Martin
Source CiteSeerX
Content type Text
Publisher Cambridge University Press
File Format PDF
Language English
Subject Domain (in DDC) Computer science, information & general works ♦ Data processing & computer science
Subject Keyword Variance-optimal Martingale Measure ♦ Quadratic Criterion ♦ Stochastic Integral ♦ Local Risk-minimization ♦ Fo Llmer-schweizer Decomposition ♦ Underlying Discounted Price Process ♦ Contingent Claim ♦ Local Martingale ♦ Minimal Martin-gale Measure ♦ Quadratic Hedging Approach ♦ Incomplete Market ♦ Mean-variance Hedging ♦ Guided Tour
Description This paper gives an overview of results and developments in the area of pricing and hedging contingent claims in an incomplete market by means of a quadratic criterion. We first present the approach of risk-minimization in the case where the underlying discounted price process X is a local martingale. We then discuss the extension to local risk-minimization when X is a semimartingale and explain the relations to the Föllmer-Schweizer decomposition and the minimal martin-gale measure. Finally we study mean-variance hedging, the variance-optimal martingale measure and the connections to closedness properties of spaces of stochastic integrals.
Educational Role Student ♦ Teacher
Age Range above 22 year
Educational Use Research
Education Level UG and PG ♦ Career/Technical Study
Learning Resource Type Article
Publisher Date 2001-01-01
Publisher Institution OPTION PRICING, INTEREST RATES AND RISK MANAGEMENT