Quadratic Hedging Methods for Defaultable Claims

2007 ◽  
Vol 56 (3) ◽  
pp. 425-443 ◽  
Author(s):  
Francesca Biagini ◽  
Alessandra Cretarola
Keyword(s):  
Quadratic Hedging

scholarly journals Quadratic hedging schemes for non-Gaussian GARCH models

2014 ◽  
Vol 42 ◽  
pp. 13-32 ◽  
Author(s):  
Alexandru Badescu ◽  
Robert J. Elliott ◽  
Juan-Pablo Ortega
Keyword(s):  
Garch Models ◽  
Quadratic Hedging ◽  
Non Gaussian

QUADRATIC HEDGING FOR THE BATES MODEL

2007 ◽  
Vol 10 (05) ◽  
pp. 873-885 ◽  
Author(s):  
FRIEDRICH HUBALEK ◽  
CARLO SGARRA
Keyword(s):  
Option Pricing ◽  
Explicit Expression ◽  
Martingale Measure ◽  
Risk Minimization ◽  
Hedging Strategy ◽  
Preliminary Results ◽  
Quadratic Hedging ◽  
The Mean ◽  
Mean Variance ◽  
Martingale Case

In the present paper we give some preliminary results for option pricing and hedging in the framework of the Bates model based on quadratic risk minimization. We provide an explicit expression of the mean-variance hedging strategy in the martingale case and study the Minimal Martingale measure in the general case.

scholarly journals Quadratic Hedging of Basis Risk

2015 ◽  
Vol 8 (1) ◽  
pp. 83-102 ◽  
Author(s):  
Hardy Hulley ◽  
Thomas McWalter
Keyword(s):  
Basis Risk ◽  
Quadratic Hedging

scholarly journals A Profitable Modification to Global Quadratic Hedging

2018 ◽  
Author(s):  
Maciej Augustyniak ◽  
Frrddric Godin ◽  
Clarence Simard
Keyword(s):  
Quadratic Hedging

scholarly journals A General Multidimensional Monte Carlo Approach for Dynamic Hedging under Stochastic Volatility

2015 ◽  
Vol 2015 ◽  
pp. 1-21 ◽  
Author(s):  
Daniel Bonetti ◽  
Dorival Leão ◽  
Alberto Ohashi ◽  
Vinícius Siqueira
Keyword(s):  
Monte Carlo ◽  
Stochastic Volatility ◽  
A Priori ◽  
Monte Carlo Study ◽  
Full Generality ◽  
Hedging Strategies ◽  
Volatility Models ◽  
Discontinuous Payoffs ◽  
Quadratic Hedging ◽  
Path Dependent

We propose a feasible and constructive methodology which allows us to compute pure hedging strategies with respect to arbitrary square-integrable claims in incomplete markets. In contrast to previous works based on PDE and BSDE methods, the main merit of our approach is the flexibility of quadratic hedging in full generality without a priori smoothness assumptions on the payoff. In particular, the methodology can be applied to multidimensional quadratic hedging-type strategies for fully path-dependent options with stochastic volatility and discontinuous payoffs. In order to demonstrate that our methodology is indeed applicable, we provide a Monte Carlo study on generalized Föllmer-Schweizer decompositions, locally risk minimizing, and mean variance hedging strategies for vanilla and path-dependent options written on local volatility and stochastic volatility models.

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