Backward Stochastic PDE and Imperfect Hedging

Citations

Cited by:

1. Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-," CARF F-Series CARF-F-332, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
2. Du, Kai & Zhang, Qi, 2013. "Semi-linear degenerate backward stochastic partial differential equations and associated forward–backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 123(5), pages 1616-1637.
3. Masaaki Fujii & Akihiko Takahashi, 2015. "Asymptotic Expansion for Forward-Backward SDEs with Jumps," CIRJE F-Series CIRJE-F-993, CIRJE, Faculty of Economics, University of Tokyo.
4. M. Mania & R. Tevzadze & T. Toronjadze, 2007. "$L^2$-approximating pricing under restricted information," Papers 0708.4095, arXiv.org.
5. Masaaki Fujii, 2015. "Optimal Position Management for a Market Maker with Stochastic Price Impacts," Papers 1503.07007, arXiv.org, revised Sep 2015.
6. Thai Nguyen & Mitja Stadje, 2020. "Utility maximization under endogenous pricing," Papers 2005.04312, arXiv.org, revised Mar 2024.
7. Michael Mania & Revaz Tevzadze, 2016. "On regularity of primal and dual dynamic value functions related to investment problem," Papers 1604.00525, arXiv.org.
8. Masaaki Fujii & Akihiko Takahashi, 2015. "Asymptotic Expansion for Forward-Backward SDEs," CARF F-Series CARF-F-372, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
9. Ulrich Horst & Jinniao Qiu & Qi Zhang, 2014. "A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition," Papers 1407.0108, arXiv.org, revised Jul 2015.
10. Masaaki Fujii, 2015. "Optimal Position Management for a Market Maker with Stochastic Price Impacts," CARF F-Series CARF-F-360, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Sep 2015.
11. Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-," CIRJE F-Series CIRJE-F-891, CIRJE, Faculty of Economics, University of Tokyo.
12. Tevzadze, Revaz, 2008. "Solvability of backward stochastic differential equations with quadratic growth," Stochastic Processes and their Applications, Elsevier, vol. 118(3), pages 503-515, March.
13. Masaaki Fujii & Akihiko Takahashi, 2014. "Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows," CARF F-Series CARF-F-338, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
14. Masaaki Fujii, 2015. "Optimal Position Management for a Market Maker with Stochastic Price Impacts," CIRJE F-Series CIRJE-F-963, CIRJE, Faculty of Economics, University of Tokyo.
15. M. Mania & R. Tevzadze & T. Toronjadze, 2007. "Mean-variance Hedging Under Partial Information," Papers math/0703424, arXiv.org.
16. Masaaki Fujii & Akihiko Takahashi, 2015. "Asymptotic Expansion for Forward-Backward SDEs with Jumps," Papers 1510.03220, arXiv.org, revised Sep 2018.
17. Elliott, Robert & Qiu, Jinniao & Wei, Wenning, 2022. "Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone," Stochastic Processes and their Applications, Elsevier, vol. 148(C), pages 68-97.
18. Masaaki Fujii & Akihiko Takahashi, 2014. "Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows," CIRJE F-Series CIRJE-F-914, CIRJE, Faculty of Economics, University of Tokyo.
19. Masaaki Fujii, 2014. "A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing," CARF F-Series CARF-F-343, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Dec 2014.
20. Masaaki Fujii & Akihiko Takahashi, 2018. "Asymptotic Expansion for Forward-Backward SDEs with JumpsAsymptotic Expansion for Forward-Backward SDEs with Jumps (Forthcoming in Stochastics) (Revised version of F-372)," CARF F-Series CARF-F-445, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
21. Masaaki Fujii, 2014. "A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing," CIRJE F-Series CIRJE-F-931, CIRJE, Faculty of Economics, University of Tokyo.
22. 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.
23. Masaaki Fujii, 2014. "A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing," Papers 1405.0378, arXiv.org, revised Dec 2014.
24. Masaaki Fujii & Akihiko Takahashi, 2014. "Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows," CARF F-Series CARF-F-348, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
25. Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market," Papers 1306.3359, arXiv.org, revised Nov 2013.
26. Masaaki Fujii & Akihiko Takahashi, 2014. "Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows," Papers 1401.2314, arXiv.org, revised Jul 2014.
27. Masaaki Fujii, 2016. "A polynomial scheme of asymptotic expansion for backward SDEs and option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 427-445, March.
28. Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market," CARF F-Series CARF-F-321, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.