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On L2-projections on a space of stochastic integrals

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  • Rheinländer, Thorsten
  • Schweizer, Martin

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  • Rheinländer, Thorsten & Schweizer, Martin, 1997. "On L2-projections on a space of stochastic integrals," SFB 373 Discussion Papers 1997,25, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:199725
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    Cited by:

    1. Moller, Thomas, 2001. "On transformations of actuarial valuation principles," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 281-303, June.
    2. Huy N. Chau & Andrea Cosso & Claudio Fontana, 2018. "The value of informational arbitrage," Papers 1804.00442, arXiv.org.
    3. M. Mania & R. Tevzadze & T. Toronjadze, 2007. "$L^2$-approximating pricing under restricted information," Papers 0708.4095, arXiv.org.
    4. Thierbach, Frank, 2002. "Mean-Variance Hedging under Additional Market Information," Bonn Econ Discussion Papers 11/2002, University of Bonn, Bonn Graduate School of Economics (BGSE).
    5. Moller, Thomas, 2003. "Indifference pricing of insurance contracts in a product space model: applications," Insurance: Mathematics and Economics, Elsevier, vol. 32(2), pages 295-315, April.
    6. M. Mania & R. Tevzadze & T. Toronjadze, 2007. "Mean-variance Hedging Under Partial Information," Papers math/0703424, arXiv.org.
    7. Dorival Le~ao & Alberto Ohashi & Vinicius Siqueira, 2013. "A general Multidimensional Monte Carlo Approach for Dynamic Hedging under stochastic volatility," Papers 1308.1704, arXiv.org, revised Aug 2013.
    8. Michael Mania & Revaz Tevzadze, 2008. "Backward Stochastic PDEs Related to the Utility Maximization Problem," ICER Working Papers - Applied Mathematics Series 07-2008, ICER - International Centre for Economic Research.
    9. Francesca Biagini & Paolo Guasoni & Maurizio Pratelli, 2000. "Mean‐Variance Hedging for Stochastic Volatility Models," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 109-123, April.
    10. repec:dau:papers:123456789/12663 is not listed on IDEAS
    11. M. Mania & R. Tevzadze, 2003. "Backward Stochastic PDE and Imperfect Hedging," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(07), pages 663-692.
    12. Claudio Fontana, 2013. "Weak and strong no-arbitrage conditions for continuous financial markets," Papers 1302.7192, arXiv.org, revised May 2014.
    13. Thorsten Rheinländer & Jenny Sexton, 2011. "Hedging Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8062, August.
    14. Soumik Pal, 2006. "Capital Requirement for Achieving Acceptability," Papers math/0601627, arXiv.org.
    15. Claudio Fontana, 2015. "Weak And Strong No-Arbitrage Conditions For Continuous Financial Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 1-34.
    16. Schweizer, Martin, 1999. "A guided tour through quadratic hedging approaches," SFB 373 Discussion Papers 1999,96, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    17. Vicky Henderson & David Hobson & Sam Howison & Tino Kluge, 2003. "A Comparison of q-optimal Option Prices in a Stochastic Volatility Model with Correlation," OFRC Working Papers Series 2003mf02, Oxford Financial Research Centre.

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