On quadratic hedging in continuous time
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- 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.
- Kamil Kladivko & Mihail Zervos, 2017. "Valuation of Employee Stock Options (ESOs) by means of Mean-Variance Hedging," Papers 1710.00897, arXiv.org.
- Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen, 2013. "Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance," Energy Economics, Elsevier, vol. 36(C), pages 97-107.
- Okhrati, Ramin & Balbás, Alejandro & Garrido, José, 2014. "Hedging of defaultable claims in a structural model using a locally risk-minimizing approach," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 2868-2891.
- George Bouzianis & Lane P. Hughston, 2020. "Optimal Hedging in Incomplete Markets," Papers 2006.12989, arXiv.org, revised Sep 2020.
- Koichi Matsumoto, 2009. "Mean-Variance Hedging with Uncertain Trade Execution," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(3), pages 219-252.
- Ramin Okhrati & Alejandro Balb'as & Jos'e Garrido, 2015. "Hedging of defaultable claims in a structural model using a locally risk-minimizing approach," Papers 1505.03501, arXiv.org.
- Cl'ement M'enass'e & Peter Tankov, 2015. "Asymptotic indifference pricing in exponential L\'evy models," Papers 1502.03359, arXiv.org, revised Feb 2015.
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KeywordsKey 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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