PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT

By Mattias Jonsson, K. Sircar. 2002

52 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/8d9b4a05141090b1aed1b8b028f0727793117ed8

How researchers see this paper

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

In Demography

1. Jean-Pierre Fouque 3
2. Michael Monoyios
3. Ronnie Sircar
4. Thaleia Zariphopoulou

In Finance

1. Michael Monoyios
2. Jean-Pierre Fouque 3
3. Ronnie Sircar
4. Thaleia Zariphopoulou
5. Mattias Jonsson
6. Vicky Henderson
7. Daniel Lacker
8. Jian-wei Gao

Citations in the corpus

• PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS (2017, background): “This extends earlier analysis for simple power utilities in Fouque, Papanicolaou, and Sircar (2000, section 10.1), and expansions for the partial hedging problem in Jonsson and Sircar (2002a, 2002b) in the dual problem, both for fast mean-reverting stochastic volatility.”
• Optimal investment problems and volatility homogenization approximations (2002, background): “It is the main example that we pick to illustrate the asymptotic analysis in Section 6; it is also treated in [12].”
• Performance of utility-based strategies for hedging basis risk (2004, background): “Most studies have simply taken a ‘snapshot’ of the hedging error over a limited number of scenarios [12].”