scholarly journals A profitable modification to global quadratic hedging

2019 ◽  
Vol 104 ◽  
pp. 111-131
Author(s):  
Maciej Augustyniak ◽  
Frédéric Godin ◽  
Clarence Simard
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 Methods for Defaultable Claims

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

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
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