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1,456
Optimal robust mean-variance hedging in incomplete financial markets
- Journal of Mathematical Sciences
"... Abstract. Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V-robust) trading strategy is find to hedge in mean-variance sense the contingent claim in incomplete financial mar ..."
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Cited by 3 (1 self)
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Abstract. Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V-robust) trading strategy is find to hedge in mean-variance sense the contingent claim in incomplete financial
Optimal mean-variance robust hedging under asset price model misspecification
- Georgian Math. J
"... Abstract. The problem of constructing robust optimal in the mean-variance sense trading strategies is considered. The approach based on the notion of sensitivity of a risk functional of the problem w.r.t. small perturbation of asset price model parameters is suggested. The optimal mean-variance robu ..."
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Cited by 1 (1 self)
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robust trading strategies are constructed for one-dimensional diffusion models with misspecified volatility. 2000 Mathematics Subject Classification: 60G22, 62F35, 91B28. Key words and phrases: Robust mean-variance hedging, misspecified asset price models. 1. Introduction and statement of the problem
Exploration, normalization, and summaries of high density oligonucleotide array probe level data.
- Biostatistics,
, 2003
"... SUMMARY In this paper we report exploratory analyses of high-density oligonucleotide array data from the Affymetrix GeneChip R system with the objective of improving upon currently used measures of gene expression. Our analyses make use of three data sets: a small experimental study consisting of f ..."
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Cited by 854 (33 self)
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familiar features of the perfect match and mismatch probe (P M and M M) values of these data, and examine the variance-mean relationship with probe-level data from probes believed to be defective, and so delivering noise only. We explain why we need to normalize the arrays to one another using probe level
MEAN-VARIANCE HEDGING WHEN THERE ARE JUMPS
, 2005
"... In this paper, we consider the problem of mean-variance hedging in an incomplete market where the underlying assets are jump diffusion processes which are driven by Brownian motion and doubly stochastic Poisson processes. This problem is formulated as a stochastic control problem, and closed form e ..."
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Cited by 8 (0 self)
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In this paper, we consider the problem of mean-variance hedging in an incomplete market where the underlying assets are jump diffusion processes which are driven by Brownian motion and doubly stochastic Poisson processes. This problem is formulated as a stochastic control problem, and closed form
Mean-Variance Hedging for General Claims
, 1990
"... Abstract: We consider a hedger with a mean-variance objective who faces a random loss at a ¯xed time. The size of this loss depends quite generally on two correlated asset prices, while only one of them is available for hedging purposes. We present a simple solution of this hedging problem by introd ..."
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Abstract: We consider a hedger with a mean-variance objective who faces a random loss at a ¯xed time. The size of this loss depends quite generally on two correlated asset prices, while only one of them is available for hedging purposes. We present a simple solution of this hedging problem
Mean-variance hedging when there are jumps
, 2005
"... In this paper, we consider the problem of mean-variance hedging in an incomplete market where the underlying assets are jump diffusion processes which are driven by Brownian motion and doubly stochastic Poisson processes. This problem is formulated as a stochastic control problem and closed form exp ..."
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In this paper, we consider the problem of mean-variance hedging in an incomplete market where the underlying assets are jump diffusion processes which are driven by Brownian motion and doubly stochastic Poisson processes. This problem is formulated as a stochastic control problem and closed form
Mean-variance Hedging in the Discontinuous Case
, 2006
"... The results on the mean-variance hedging problem in Gouriéroux, Laurent and Pham (1998), Rheinländer and Schweizer (1997) and Arai (2005) are extended to discontinuous semimartingale models. When the numéraire method is used, we only assume the Radon-Nikodym derivative of the variance-optimal signed ..."
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The results on the mean-variance hedging problem in Gouriéroux, Laurent and Pham (1998), Rheinländer and Schweizer (1997) and Arai (2005) are extended to discontinuous semimartingale models. When the numéraire method is used, we only assume the Radon-Nikodym derivative of the variance
The Determinants of Credit Spread Changes.
- Journal of Finance
, 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
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Cited by 422 (2 self)
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like Treasury bonds, and (2) low-grade bonds are more sensitive to stock returns. The implications of these studies may be limited in many situations of interest, however. For example, hedge funds often take highly levered positions in corporate bonds while hedging away interest rate risk by shorting
Results 1 - 10
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