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Stochastics and Stochastic Reports Volume 73, 2002 - Issue 1-2
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Original Articles

Stochastic integral representations, stochastic derivatives and minimal variance hedging

G. Di Nunno Dipartimento di Matematica, Università degli Studi di Pavia, via Ferrata, Pavia, 1-27100, Italy
Pages 181-198 | Published online: 29 Oct 2010

Citations (14)

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Read on this site (3)

Stéphane Goutte, Nadia Oudjane & Francesco Russo. (2013) On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process. Stochastic Analysis and Applications 31:1, pages 108-141.
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Hassan Allouba & Ramiro Fontes. (2011) Applications of the Quadratic Covariation Differentiation Theory: Variants of the Clark-Ocone and Stroock's Formulas. Stochastic Analysis and Applications 29:6, pages 1111-1135.
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Giulia Di Nunno & Inga Baadshaug Eide. (2009) Minimal-Variance Hedging in Large Financial Markets: Random Fields Approach. Stochastic Analysis and Applications 28:1, pages 54-85.
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Articles from other publishers (11)

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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Jacek Jakubowski & Mariusz Niewęgłowski. (2019) Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors. Journal of Mathematical Analysis and Applications 476:2, pages 737-758.
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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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Dorival Leão & Alberto Ohashi. (2013) Weak approximations for Wiener functionals. The Annals of Applied Probability 23:4.
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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 .
Thorsten Rheinländer. 2010. Encyclopedia of Quantitative Finance. Encyclopedia of Quantitative Finance.
GIULIA DI NUNNO. (2012) RANDOM FIELDS: NON-ANTICIPATING DERIVATIVE AND DIFFERENTIATION FORMULAS. Infinite Dimensional Analysis, Quantum Probability and Related Topics 10:03, pages 465-481.
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Aleš Černý & Jan Kallsen. (2007) On the structure of general mean-variance hedging strategies. The Annals of Probability 35:4.
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Fred Espen Benth, Giulia Di Nunno, Arne Lokka, Bernt Oksendal & Frank Proske. (2003) Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes. Mathematical Finance 13:1, pages 55-72.
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Ales Cerny & Jan Kallsen. (2005) On the Structure of General Mean-Variance Hedging Strategies. SSRN Electronic Journal.
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