Publikation:

The mean-variance hedging in a bond market with jumps

Vorschaubild

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

2010

Autor:innen

Xiong, Dewen

Herausgeber:innen

Kontakt

ISSN der Zeitschrift

Electronic ISSN

ISBN

Bibliografische Daten

Verlag

Schriftenreihe

Auflagebezeichnung

URI (zitierfähiger Link)
http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-129331
DOI (zitierfähiger Link)
https://doi.org/10.1080/07362994.2010.503463
ArXiv-ID

Internationale Patentnummer

Angaben zur Forschungsförderung

Projekt

Open Access-Veröffentlichung

Sammlungen

Mathematik und Statistik: Publikationen
Core Facility der Universität Konstanz

Gesperrt bis

Titel in einer weiteren Sprache

Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published

Erschienen in

Stochastic analysis and applications. 2010, 28(5), pp. 793-819. Available under: doi: 10.1080/07362994.2010.503463

Zusammenfassung

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 <

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
510 Mathematik

Schlagwörter

Backward semimartingale equation (BSE), Bond market with jumps, Mean-variance hedging (MVH), Variance optimal martingale (VOM), E*-martingale

Konferenz

Rezension
undefined / . - undefined, undefined

Forschungsvorhaben

Organisationseinheiten

Zeitschriftenheft

Zugehörige Datensätze in KOPS

Zitieren

ISO 690XIONG, 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
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}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/825">
    <dcterms:bibliographicCitation>Publ. in: Stochastic analysis and applications 28 (2010), 5, pp. 793-819</dcterms:bibliographicCitation>
    <dc:contributor>Kohlmann, Michael</dc:contributor>
    <dc:language>eng</dc:language>
    <dcterms:issued>2010</dcterms:issued>
    <dc:contributor>Xiong, Dewen</dc:contributor>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:49:01Z</dcterms:available>
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dc:creator>Kohlmann, Michael</dc:creator>
    <dcterms:abstract xml:lang="eng">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 &lt; T1 &lt;</dcterms:abstract>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:49:01Z</dc:date>
    <dc:rights>terms-of-use</dc:rights>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/825"/>
    <dc:creator>Xiong, Dewen</dc:creator>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dcterms:title>The mean-variance hedging in a bond market with jumps</dcterms:title>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
  </rdf:Description>
</rdf:RDF>

Interner Vermerk

xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter

Kontakt
URL der Originalveröffentl.

Prüfdatum der URL

Prüfungsdatum der Dissertation

Finanzierungsart

Kommentar zur Publikation

Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
Begutachtet
Diese Publikation teilen