Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes

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Hedging with options in models with jumps (2007, background): “The expectation in (3) can be understood either as being computed under an “objective” measure meant as a statistical model of price fluctuations [2, 17, 19, 27] or as being computed under a martingale (“risk-adjusted”) measure [6, 7, 16, 18, 24].”
On the Structure of General Mean-Variance Hedging Strategies (2007, unknown): “More recent publications in this context include [2, 3, 4, 7, 8, 9, 10, 11, 17, 23, 24, 25, 26, 32, 33, 34, 35, 36, 46].”
A mean-field stochastic maximum principle via Malliavin calculus (2012, background): “[4,6] Let D ð ~ NÞ 1;2 be the space of all F [ L2ðF T ;PÞ such that its chaos expansion (2.”
Pricing and Hedging in Exponential Lévy Models: Review of Recent Results (2011, background): “Formulas for φ H t with various degrees of explicitness and under various assumptions on the driving process X and on the pay-off G were given in [9, 20, 6, 27] and several other papers.”
Malliavin Calculus in Lévy spaces and Applications to Finance. (2008, background): “It has also been studied in the sphere of finance, see for instance Benth et al. [2] and Léon et al. [11].”
White Noise of Poisson Random Measures (2004, methodology): “On the other hand, it can be used to obtain an explicit formula for the closest hedge, in the sense of minimal variance. See [ 7 ] and Section 5.”