The mean-variance hedging in a bond market with jumps

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XIONG, Dewen, Michael KOHLMANN, 2010. The mean-variance hedging in a bond market with jumps. In: Stochastic analysis and applications. 28(5), pp. 793-819

@article{Xiong2010mean--825, title={The mean-variance 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={793--819}, author={Xiong, Dewen and Kohlmann, Michael} }

2010 Publ. in: Stochastic analysis and applications 28 (2010), 5, pp. 793-819 Xiong, Dewen The mean-variance hedging in a bond market with jumps deposit-license 2011-03-22T17:49:01Z Kohlmann, Michael eng 2011-03-22T17:49:01Z Kohlmann, Michael 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 < Xiong, Dewen

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