Mean-Variance Hedging

Thorsten Rheinländer and Jenny Sexton
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Thorsten Rheinländer: London School of Economics and Political Science, UK
Jenny Sexton: University of Manchester, UK

Chapter 6 in Hedging Derivatives, 2011, pp 103-131 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Concept of mean-variance hedgingValuation and hedging by the Laplace methodBilateral Laplace transformsValuation and hedging using Laplace transformsValuation and hedging via integro-differential equationsFeynman-Kac formula for the value functionComputation of the optimal hedging strategyMean-variance hedging of defaultable assetsIntensity-based approachMartingale representationHedging of insurance claims with longevity bondsQuadratic risk-minimisation for payment streamsNotes and further reading

Keywords: Hedging; Financial Derivatives; Martingale Measures; Incomplete Markets; Stochastic Volatility; Lévy Processes (search for similar items in EconPapers)
Date: 2011
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