Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows
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- Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market," Papers 1306.3359, arXiv.org, revised Nov 2013.
- Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-," CARF F-Series CARF-F-332, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-," CIRJE F-Series CIRJE-F-891, CIRJE, Faculty of Economics, University of Tokyo.
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- Masaaki Fujii, 2014. "A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing," CARF F-Series CARF-F-343, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Dec 2014.
- Masaaki Fujii, 2014. "A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing," CIRJE F-Series CIRJE-F-931, CIRJE, Faculty of Economics, University of Tokyo.
- Masaaki Fujii, 2014. "A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing," Papers 1405.0378, arXiv.org, revised Dec 2014.
- Masaaki Fujii, 2016. "A polynomial scheme of asymptotic expansion for backward SDEs and option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 427-445, March.
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- Huang, Jianhui & Wang, Guangchen & Wu, Zhen, 2010. "Optimal premium policy of an insurance firm: Full and partial information," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 208-215, October.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CTA-2014-01-24 (Contract Theory and Applications)
- NEP-IAS-2014-01-24 (Insurance Economics)
- NEP-RMG-2014-01-24 (Risk Management)
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