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Cross hedging with stochastic correlation


  • Stefan Ankirchner


  • Gregor Heyne



No abstract is available for this item.

Suggested Citation

  • Stefan Ankirchner & Gregor Heyne, 2012. "Cross hedging with stochastic correlation," Finance and Stochastics, Springer, vol. 16(1), pages 17-43, January.
  • Handle: RePEc:spr:finsto:v:16:y:2012:i:1:p:17-43
    DOI: 10.1007/s00780-010-0148-2

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    References listed on IDEAS

    1. Hardy Hulley & Thomas A. McWalter, 2015. "Quadratic Hedging of Basis Risk," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 8(1), pages 1-20, February.
    2. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71.
    3. Michael Monoyios, 2004. "Performance of utility-based strategies for hedging basis risk," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 245-255.
    4. Vicky Henderson, 2002. "Valuation Of Claims On Nontraded Assets Using Utility Maximization," Mathematical Finance, Wiley Blackwell, vol. 12(4), pages 351-373.
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    Cited by:

    1. Michael Monoyios, 2012. "Malliavin calculus method for asymptotic expansion of dual control problems," Papers 1209.6497,, revised Oct 2013.
    2. Ismail Laachir & Francesco Russo, 2016. "BSDEs, càdlàg martingale problems and orthogonalisation under basis risk," Working Papers hal-01086227, HAL.
    3. Vadhindran K. Rao, 2011. "Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 4(1), pages 1-29, December.
    4. Delong, Łukasz, 2014. "Pricing and hedging of variable annuities with state-dependent fees," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 24-33.

    More about this item


    Cross hedging; Incomplete markets; Correlation; Local risk minimisation; BSDE; 91G20; 60H10; 60H07; C30; G13;

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing


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