Type of Publication:  Journal article 
Author:  Xiong, Dewen; Kohlmann, Michael 
Year of publication:  2010 
Published in:  Stochastic analysis and applications ; 28 (2010), 5.  pp. 793819 
DOI (citable link):  https://dx.doi.org/10.1080/07362994.2010.503463 
Summary: 
We construct a market of bonds with jumps driven by a general marked point process as well as by a Ropfnvalued Wiener process based on Bjoumlrk et al. [6], in which there exists at least one equivalent martingale measure Q0. Then we consider the meanvariance hedging of a contingent claim H ∈ L2(FT0) based on the selffinancing portfolio based on the given maturities T1, , Tn with T0 < T1 <

MSC Classification:  90A09; 60H30; 60G44 
Subject (DDC):  510 Mathematics 
Keywords:  Backward semimartingale equation (BSE), Bond market with jumps, Meanvariance hedging (MVH), Variance optimal martingale (VOM), E*martingale 
Bibliography of Konstanz:  Yes 
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XIONG, Dewen, Michael KOHLMANN, 2010. The meanvariance hedging in a bond market with jumps. In: Stochastic analysis and applications. 28(5), pp. 793819. Available under: doi: 10.1080/07362994.2010.503463
@article{Xiong2010meanv825, title={The meanvariance hedging in a bond market with jumps}, year={2010}, doi={10.1080/07362994.2010.503463}, number={5}, volume={28}, journal={Stochastic analysis and applications}, pages={793819}, author={Xiong, Dewen and Kohlmann, Michael} }