The mean-variance hedging in a bond market with jumps
| dc.contributor.author | Xiong, Dewen | deu |
| dc.contributor.author | Kohlmann, Michael | |
| dc.date.accessioned | 2011-03-22T17:49:01Z | deu |
| dc.date.available | 2011-03-22T17:49:01Z | deu |
| dc.date.issued | 2010 | deu |
| dc.description.abstract | We construct a market of bonds with jumps driven by a general marked point process as well as by a Ropfn-valued Wiener process based on Bjoumlrk et al. [6], in which there exists at least one equivalent martingale measure Q0. Then we consider the mean-variance hedging of a contingent claim H ∈ L2(FT0) based on the self-financing portfolio based on the given maturities T1, , Tn with T0 < T1 < | eng |
| dc.description.version | published | |
| dc.identifier.citation | Publ. in: Stochastic analysis and applications 28 (2010), 5, pp. 793-819 | deu |
| dc.identifier.doi | 10.1080/07362994.2010.503463 | |
| dc.identifier.uri | http://kops.uni-konstanz.de/handle/123456789/825 | |
| dc.language.iso | eng | deu |
| dc.legacy.dateIssued | 2011 | deu |
| dc.rights | terms-of-use | deu |
| dc.rights.uri | https://rightsstatements.org/page/InC/1.0/ | deu |
| dc.subject | Backward semimartingale equation (BSE) | deu |
| dc.subject | Bond market with jumps | deu |
| dc.subject | Mean-variance hedging (MVH) | deu |
| dc.subject | Variance optimal martingale (VOM) | deu |
| dc.subject | E*-martingale | deu |
| dc.subject.ddc | 510 | deu |
| dc.subject.msc | 90A09 | deu |
| dc.subject.msc | 60H30 | deu |
| dc.subject.msc | 60G44 | deu |
| dc.title | The mean-variance hedging in a bond market with jumps | eng |
| dc.type | JOURNAL_ARTICLE | deu |
| dspace.entity.type | Publication | |
| kops.citation.bibtex | @article{Xiong2010meanv-825,
year={2010},
doi={10.1080/07362994.2010.503463},
title={The mean-variance hedging in a bond market with jumps},
number={5},
volume={28},
journal={Stochastic analysis and applications},
pages={793--819},
author={Xiong, Dewen and Kohlmann, Michael}
} | |
| kops.citation.iso690 | XIONG, Dewen, Michael KOHLMANN, 2010. The mean-variance hedging in a bond market with jumps. In: Stochastic analysis and applications. 2010, 28(5), pp. 793-819. Available under: doi: 10.1080/07362994.2010.503463 | deu |
| kops.citation.iso690 | XIONG, Dewen, Michael KOHLMANN, 2010. The mean-variance hedging in a bond market with jumps. In: Stochastic analysis and applications. 2010, 28(5), pp. 793-819. Available under: doi: 10.1080/07362994.2010.503463 | eng |
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