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Stochastic Analysis and Applications Volume 28, 2009 - Issue 1
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Original Articles

Minimal-Variance Hedging in Large Financial Markets: Random Fields Approach

Giulia Di Nunno Department of Mathematics, Centre of Mathematics for Applications, University of Oslo, Oslo, NorwayCorrespondence[email protected]
&
Inga Baadshaug Eide Department of Mathematics, Centre of Mathematics for Applications, University of Oslo, Oslo, Norway
Pages 54-85 | Received 09 Jan 2009, Accepted 14 May 2009, Published online: 21 Dec 2009

Citations (10)

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Read on this site (1)

Mariusz Michta & Kamil Łukasz Świątek. (2015) Set-Valued Stochastic Integrals and Equations with Respect to Two-Parameter Martingales. Stochastic Analysis and Applications 33:1, pages 40-66.
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Articles from other publishers (9)

Giulia di Nunno & Michele Giordano. (2023) Stochastic Volterra equations with time-changed Lévy noise and maximum principles. Annals of Operations Research.
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Giulia di Nunno. (2022) On stochastic control for time changed Lévy dynamics. SeMA Journal 79:3, pages 529-547.
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Miklós Rásonyi. (2017) Maximizing expected utility in the Arbitrage Pricing Model. Journal of Mathematical Analysis and Applications 454:1, pages 127-143.
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Giulia Di Nunno & Hannes Haferkorn. (2017) A Maximum Principle for Mean-Field SDEs with Time Change. Applied Mathematics & Optimization 76:1, pages 137-176.
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Giulia Di Nunno & Erik Hove Karlsen. 2016. The Fascination of Probability, Statistics and their Applications. The Fascination of Probability, Statistics and their Applications 465 499 .
Giulia Di Nunno, Asma Khedher & Michèle Vanmaele. (2015) Robustness of Quadratic Hedging Strategies in Finance via Backward Stochastic Differential Equations with Jumps. Applied Mathematics & Optimization 72:3, pages 353-389.
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Giulia Di Nunno & Steffen Sjursen. (2014) BSDEs driven by time-changed Lévy noises and optimal control. Stochastic Processes and their Applications 124:4, pages 1679-1709.
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Giulia Di Nunno & Steffen Sjursen. 2013. Seminar on Stochastic Analysis, Random Fields and Applications VII. Seminar on Stochastic Analysis, Random Fields and Applications VII 23 54 .
Günter Last & Mathew D. Penrose. (2011) Martingale representation for Poisson processes with applications to minimal variance hedging. Stochastic Processes and their Applications 121:7, pages 1588-1606.
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