Local Risk-Minimization under the Benchmark Approach
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- Francesca Biagini & Alessandra Cretarola & Eckhard Platen, 2012. "Local Risk-Minimization under the Benchmark Approach," Papers 1210.2337, arXiv.org.
References listed on IDEAS
- Eckhard Platen, 2006.
"A Benchmark Approach To Finance,"
Mathematical Finance,
Wiley Blackwell, vol. 16(1), pages 131-151.
- Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney.
- Hardy Hulley & Martin Schweizer, 2010. "M6 - On Minimal Market Models and Minimal Martingale Measures," Research Paper Series 280, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen, 2004.
"Diversified Portfolios with Jumps in a Benchmark Framework,"
Asia-Pacific Financial Markets,
Springer;Japanese Association of Financial Economics and Engineering, vol. 11(1), pages 1-22, March.
- Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney.
- Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
- David Heath & Eckhard Platen & Martin Schweizer, 2001. "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 385-413.
- Ke Du & Eckhard Platen, 2011. "Three-Benchmarked Risk Minimization for Jump Diffusion Markets," Research Paper Series 296, Quantitative Finance Research Centre, University of Technology, Sydney.
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Cited by:
- repec:wsi:ijtafx:v:15:y:2012:i:04:n:s0219024912500252 is not listed on IDEAS
- Ke Du & Eckhard Platen, 2016. "Benchmarked Risk Minimization," Mathematical Finance, Wiley Blackwell, vol. 26(3), pages 617-637, July.
- Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra, 2014.
"A benchmark approach to risk-minimization under partial information,"
Insurance: Mathematics and Economics,
Elsevier, vol. 55(C), pages 129-146.
- Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2013. "A Benchmark Approach to Risk-Minimization under Partial Information," Papers 1307.6036, arXiv.org.
- Eckhard Platen & David Taylor, 2016.
"Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts,"
Papers
1610.09875, arXiv.org.
- Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Research Paper Series 379, Quantitative Finance Research Centre, University of Technology, Sydney.
- Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2016.
"A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds,"
Papers
1608.04683, arXiv.org.
- Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2016. "A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds," Research Paper Series 374, Quantitative Finance Research Centre, University of Technology, Sydney.
- Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra, 2015.
"Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization,"
Insurance: Mathematics and Economics,
Elsevier, vol. 60(C), pages 47-60.
- Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2014. "Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization," Papers 1406.6902, arXiv.org.
- Ke Du, 2013. "Commodity Derivative Pricing Under the Benchmark Approach," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2.
- Francesca Biagini & Yinglin Zhang, 2016. "Polynomial Diffusion Models for Life Insurance Liabilities," Papers 1602.07910, arXiv.org, revised Sep 2016.
- Francesca Biagini & Andreas Groll & Jan Widenmann, 2016. "Risk Minimization for Insurance Products via F-Doubly Stochastic Markov Chains," Risks, MDPI, Open Access Journal, vol. 4(3), pages 1-26, July.
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Keywords
local risk-minimization; Follmer-Schweizer decomposion; Galtchouck-Kunita-Watanabe decomposion; numeraire portfolio; benchmark approach; real world pricing; martingale representation;Statistics
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