Results 1  10
of
1,456
Optimal robust meanvariance hedging in incomplete financial markets
 Journal of Mathematical Sciences
"... Abstract. Optimal Brobust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal meanvariance robust (optimal Vrobust) trading strategy is find to hedge in meanvariance sense the contingent claim in incomplete financial mar ..."
Abstract

Cited by 3 (1 self)
 Add to MetaCart
Abstract. Optimal Brobust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal meanvariance robust (optimal Vrobust) trading strategy is find to hedge in meanvariance sense the contingent claim in incomplete financial
Optimal meanvariance robust hedging under asset price model misspecification
 Georgian Math. J
"... Abstract. The problem of constructing robust optimal in the meanvariance 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 meanvariance robu ..."
Abstract

Cited by 1 (1 self)
 Add to MetaCart
robust trading strategies are constructed for onedimensional diffusion models with misspecified volatility. 2000 Mathematics Subject Classification: 60G22, 62F35, 91B28. Key words and phrases: Robust meanvariance 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 highdensity 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 ..."
Abstract

Cited by 854 (33 self)
 Add to MetaCart
familiar features of the perfect match and mismatch probe (P M and M M) values of these data, and examine the variancemean relationship with probelevel 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
MEANVARIANCE HEDGING WHEN THERE ARE JUMPS
, 2005
"... In this paper, we consider the problem of meanvariance 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 ..."
Abstract

Cited by 8 (0 self)
 Add to MetaCart
In this paper, we consider the problem of meanvariance 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
MeanVariance Hedging for General Claims
, 1990
"... Abstract: We consider a hedger with a meanvariance 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 ..."
Abstract
 Add to MetaCart
Abstract: We consider a hedger with a meanvariance 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
Meanvariance hedging when there are jumps
, 2005
"... In this paper, we consider the problem of meanvariance 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 ..."
Abstract
 Add to MetaCart
In this paper, we consider the problem of meanvariance 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
Meanvariance Hedging in the Discontinuous Case
, 2006
"... The results on the meanvariance 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 RadonNikodym derivative of the varianceoptimal signed ..."
Abstract
 Add to MetaCart
The results on the meanvariance 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 RadonNikodym 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 ..."
Abstract

Cited by 422 (2 self)
 Add to MetaCart
like Treasury bonds, and (2) lowgrade 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
of
1,456