Exponential Hedging and Entropic Penalties

By Freddy Delbaen, Peter Grandits, Thorsten Rheinländer, Dominick J. Samperi, Martin Schweizer, Christophe Stricker. 2002

425 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/9840428cddd387a0969c98e97ee15d77e5df17e9

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Citations in the corpus

Esscher transforms and the minimal entropy martingale measure for exponential Lévy models (2006, background): “( 2002 ) and Frittelli ( 2000 ), Bellini and Frittelli ( 2002 ) and Grandits and Rheinlader ( 2002 ), Goll and Ruschendorf ( 2001 ).”
Asymptotic analysis of hedging errors in models with jumps (2009, background): “In illiquid markets, the hedge ratio may be chosen based on risk preferences of the investor, expressed via an utility function [5].”
Dynamic exponential utility indifference valuation (2005, background): “Let us consider the semimartingale backward equation Yt = Y0 + ∫ t 0 1tr d〈M〉s f(s,Zs) + ∫ t 0 gs d〈L〉s + ∫ t 0 Zs dMs +Lt(3.1) with the boundary condition YT =B,(3.2) where 1 := (1 . . . 1)tr ∈Rd, f :Ω× [0, T ]×Rd →Rd is P×B(Rd)-measurable, g is a real-valued predictable process and B ∈ L∞(FT ,R).”
Minimal Entropy Martingale Measure (2010, background): “By the multidimensional version of a theorem of Yor [see Stricker (1990), Remark III.”
Mean field and n‐agent games for optimal investment under relative performance criteria (2017, background): “One must then solve the dual problem, but some technical issues may still remain; see Delbaen et al. (2002) and Schachermayer (2001).”
Bounded solutions to backward SDE's with jumps for utility optimization and indifference hedging (2006, background): “BSDE corresponding to the exponential utility problem can be derived from the general duality results on the existence and structure of the solution to the exponential optimization problem in [8, 16].”
Variance-Optimal Hedging for Processes with Stationary Independent Increments (2006, methodology): “Variations of this approach have been investigated in [8, 9, 19, 30, 31].”
Exponential utility maximization under model uncertainty for unbounded endowments (2016, background): “In case of exponential utility function (though in a continuous-time and non-robust setting) [19] and [13] were the first to prove duality and existence, which lead to further analysis, for example a BSDE characterization of the optimal value and solution in an incomplete market and under trading co”
Wavelet Galerkin pricing of American options on Lévy driven assets (2005, methodology): “If G 1⁄4M one obtains Lévy processes from the Koponen (1995) family.”
On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper (2002, positive): “The main results of Delbaen et al. (2002) are their Theorems 2.2 and 2.3 asserting that under a certain additional assumption (‘‘reverse Hölder inequality’’) the process Ho S is a true martingale with respect to every local martingale measure Q with finite entropy and that the optimal value in the…”
A dual characterization of self-generation and exponential forward performances (2008, background): “It corresponds to the existence of the primal optimizer in related exponential-utility maximization problems (see [8, 14, 18]).”
Asymptotic analysis of utility-based hedging strategies for small number of contingent claims (2007, positive): “[3], that relies on duality and martingale methods for the case of exponential utility.”
Putting order in risk measures (2002, background): “It was also shown, in Bellini and Frittelli (2002) and in Delbaen et al. (2000), that the problem of maximizing the expected exponential utility, from the terminal wealth and a certain given claim x 2 X , can be expressed, via duality, as the maximization over the set of martingale measures of the…”
Lévy Processes in Finance: Inverse Problems and Dependence Modelling (2004, result): “Using the results in [33], Miyahara and Fujiwara [73] established the following properties of utility indifference price in exponential Lévy models.”
Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type (2003, background): “Utility optimization techniques for pricing derviatives in incomplete markets have recently drawn a lot of attention (see, e.g., Rouge and El Karoui 2000 and Delbaen et al. 2002).”
Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2004, methodology): “For the relation of entropic utility functions to pricing in incomplete markets we refer to Frittelli (2000), Rouge and El Karoui (2000), and Delbaen et al. (2002).”
Utility maximization in incomplete markets (2005, background): “[4] give a duality result between the optimal strategy for the maximization of the exponential utility and the martingale measure minimizing the relative entropy with respect to the real world measureP .”