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Applied Mathematical Finance Volume 11, 2004 - Issue 1
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Dynamic programming and mean‐variance hedging in discrete time

Aleš Černý
Pages 1-25 | Received 29 Nov 2002, Published online: 13 May 2010

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Maciej Augustyniak, Frédéric Godin & Clarence Simard. (2017) Assessing the effectiveness of local and global quadratic hedging under GARCH models. Quantitative Finance 17:9, pages 1305-1318.
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Jan Kallsen & Arnd Pauwels. (2011) Variance-Optimal Hedging for Time-Changed Lévy Processes. Applied Mathematical Finance 18:1, pages 1-28.
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Koichi Matsumoto. (2009) Mean-Variance Hedging with Uncertain Trade Execution. Applied Mathematical Finance 16:3, pages 219-252.
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Articles from other publishers (30)

Nicola Secomandi. (2022) Quadratic hedging of risk neutral values. Energy Economics 112, pages 106086.
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Karim Barigou, Valeria Bignozzi & Andreas Tsanakas. (2021) INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH. ASTIN Bulletin 52:1, pages 211-245.
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Jun Deng & Bin Zou. (2021) Quadratic hedging for sequential claims with random weights in discrete time. Operations Research Letters 49:2, pages 218-225.
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Koichi Matsumoto & Keita Shimizu. (2019) Hedging Derivatives on Two Assets with Model Risk. Asia-Pacific Financial Markets 27:1, pages 83-95.
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Karim Barigou, Ze Chen & Jan Dhaene. (2019) Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency. Insurance: Mathematics and Economics 88, pages 19-29.
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Maciej Augustyniak, Frédéric Godin & Clarence Simard. (2019) A profitable modification to global quadratic hedging. Journal of Economic Dynamics and Control 104, pages 111-131.
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Jussi Klemelä. 2018. Nonparametric Finance. Nonparametric Finance 673 680 .
Koichi Matsumoto. (2017) Mean–variance hedging with model risk. International Journal of Financial Engineering 04:04, pages 1750042.
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Monique Jeanblanc, Michael Mania, Marina Santacroce & Martin Schweizer. (2012) Mean-variance hedging via stochastic control and BSDEs for general semimartingales. The Annals of Applied Probability 22:6.
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Hong Xiao. (2011) Study on E-Commerce Post Express Service in China. Study on E-Commerce Post Express Service in China.
O L V Costa, A C Maiali & Afonso de C. Pinto. (2010) Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market. IEEE Transactions on Automatic Control 55:7, pages 1704-1709.
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Martin Schweizer. 2010. Encyclopedia of Quantitative Finance. Encyclopedia of Quantitative Finance.
O. L.V. Costa, A. C. Maiali & A. de C. Pinto. (2009) Sampled control for mean-variance hedging in a jump diffusion financial market. Sampled control for mean-variance hedging in a jump diffusion financial market.
Aleš Černý & Jan Kallsen. (2009) HEDGING BY SEQUENTIAL REGRESSIONS REVISITED. Mathematical Finance 19:4, pages 591-617.
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Koichi Matsumoto. (2009) Dynamic programming and mean-variance hedging with partial execution risk. Review of Derivatives Research 12:1, pages 29-53.
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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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Aleš Černý. (2007) OPTIMAL CONTINUOUS-TIME HEDGING WITH LEPTOKURTIC RETURNS. Mathematical Finance 17:2, pages 175-203.
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Marco Papi & Simone Sbaraglia. (2006) Optimal asset–liability management with constraints: A dynamic programming approach. Applied Mathematics and Computation 173:1, pages 306-349.
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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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Ales Cerny. (2005) Optimal Continuous-Time Hedging with Leptokurtic Returns. SSRN Electronic Journal.
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Nicola Secomandi & Bo Yang. (2021) Quadratic Hedging of Futures Term Structure Risk in Merchant Energy Trading Operations. SSRN Electronic Journal.
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Nicola Secomandi. (2021) Quadratic Hedging of Risk Neutral Values. SSRN Electronic Journal.
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Karim Barigou, Ze Chen & Jan Dhaene. (2018) Fair Dynamic Valuation of Insurance Liabilities: Merging Actuarial Judgement With Market- and Time-Consistency. SSRN Electronic Journal.
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Maciej Augustyniak, Frrddric Godin & Clarence Simard. (2018) A Profitable Modification to Global Quadratic Hedging. SSRN Electronic Journal.
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Maciej Augustyniak, Frrddric Godin & Clarence Simard. (2016) Assessing the Effectiveness of Local and Global Quadratic Hedging Under GARCH Models. SSRN Electronic Journal.
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Monique Jeanblanc, Michael Mania, Marina Santacroce & Martin Schweizer. (2011) Mean-Variance Hedging via Stochastic Control and BSDEs for General Semimartingales. SSRN Electronic Journal.
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William Robert Maurice Perraudin, Vladislav Peretyatkin & Robert Lamb. (2005) Hedging and Asset Allocation for Structured Products. SSRN Electronic Journal.
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Katarzyna Romaniuk. (2010) The Optimal Alternative to the Delta Hedge in the Black and Scholes' (1973) World. SSRN Electronic Journal.
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Paul A. Bekker & Kees E. Bouwman. (2009) A Unified Approach to Dynamic Mean-Variance Analysis in Discrete and Continuous Time. SSRN Electronic Journal.
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Ales Cerny & Jan Kallsen. (2007) Hedging by Sequential Regressions Revisited. SSRN Electronic Journal.
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