A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets

By D. Heath, Eckhard Platen, Martin Schweizer. 2001

141 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/3f1792f4255be5a108283484ecf33e4125b20881

How researchers see this paper

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

In Finance

In Management Science and Operations Research

Citations in the corpus

Robustly Hedging Variable Annuities with Guarantees under Jump and Volatility Risks (2007, methodology): “The total risk minimization hedging strategy is computed by solving a stochastic optimization problem in which the risk of failure to match the payoff through the dynamic hedging strategy is minimized, see e.g., [16, 18 , 19, 22, 26, 29, 30].”
Mean‐Variance Hedging for Stochastic Volatility Models (2000, methodology): “Also the recent paper by Heath, Platen, and Schweizer (1999) contains a detailed analysis of the mean-variance hedging criterion (compared to the locally risk-minimizing criterion) in stochastic volatility models.”
A Fair Pricing Approach to Weather Derivatives (2004, background): “The pricing of derivatives in incomplete markets (see Hofmann et al., 1992); ( Heath et al., 2001 ), generally leads to pricing concepts based on certain expected value calculations.”
MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION (2008, unknown): “In the case of zero correlation, the problem at hand has been solved by Heath et al. (2001), drawing on the results of Laurent and Pham (1999).”
Hedging guarantees in variable annuities under both equity and interest rate risks (2006, background): “Föllmer and Sondermann (1986), Föllmer nd Schweizer (1989), Schäl (1994), Schweizer (1995, 001), Mercurio and Vorst (1996), Heath et al. 2001a,b), and Bertsimas et al. (2001) study quadratic riteria for risk minimization.”
On changes of measure in stochastic volatility models (2006, methodology): “This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.”
On the martingale property of stochastic exponentials (2004, background): “Notable exceptions to this include the works by Heath et al. (2001) and Lucic (2003).”
Martingales versus PDEs in finance: an equivalence result with examples (2000, background): “4); see for instance Chapter 6 of Friedman (1975), Section 2.9 of Krylov (1980) or Appendix E of Duffie (1992).”