Risk measure pricing and hedging in incomplete markets

By Mingxin Xu. 2006

108 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/29abf6d34d9e9441ccb766df8c1e741260e7afc7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Agnès Sulem
2. Martin Schweizer
3. Susanne Klöppel
4. Bernt Øksendal
5. David Nualart
6. Fred Espen Benth
7. Yasushi Ishikawa
8. Hans Föllmer

In Finance

1. Bernt Øksendal
2. Agnès Sulem
3. Martin Schweizer
4. Susanne Klöppel
5. B. Larssen
6. David Nualart
7. Fred Espen Benth
8. Yasushi Ishikawa

In Management Science and Operations Research

1. Bernt Øksendal
2. Agnès Sulem
3. Martin Schweizer
4. Susanne Klöppel
5. Hans Föllmer
6. Irina Penner
7. Robert J. R. Elliott
8. A. Jobert

Citations in the corpus

• RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS (2009, methodology): “HJBI EQUATIONS FOR STOCHASTIC DIFFERENTIAL GAMES Problem A is related to the class of stochastic differential games studied in Mataramvura and Øksendal (2008). (See also Øksendal and Sulem 2008.”
• Deep hedging (2018, unknown): “We focus here on optimality under convex risk measures as studied e.g. in [Xu06] and [IAR09].”
• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES (2007, background): “Most previous results are only given unconditionally for t = 0; this applies to the indifference valuation via risk measures in Xu (2006) or (briefly) in Barrieu and El Karoui (2005), to the construction of the market functional in Föllmer and Schied (2002), or to the convolution in Barrieu and El…”