Hide metadata

dc.date.accessioned2013-03-12T08:18:50Z
dc.date.available2013-03-12T08:18:50Z
dc.date.issued2001en_US
dc.date.submitted2010-02-19en_US
dc.identifier.urihttp://hdl.handle.net/10852/10704
dc.description.abstractIn a market driven by a Lévy martingale, we consider a claim x. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We discuss two types of stochastic (Malliavin) derivatives for x: one based on the chaos expansion in terms of iterated integrals with respect to the power jump processes and one based on the chaos expansion in terms of iterated integrals with respect to the Wiener process and the Poisson random measure components. We study the relation between these two expansions, the corresponding two derivatives and the corresponding versions of the Clark-Haussmann-Ocone theorem.eng
dc.language.isoengen_US
dc.publisherMatematisk Institutt, Universitetet i Oslo
dc.relation.ispartofPreprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076en_US
dc.relation.urihttp://urn.nb.no/URN:NBN:no-8076
dc.titleExplicit Representation of the Minimal Variance Portfolio in Markets driven by Lévy processes.en_US
dc.typeResearch reporten_US
dc.date.updated2010-02-19en_US
dc.creator.authorBenth, Fred Espenen_US
dc.creator.authorDi Nunno, Giuliaen_US
dc.creator.authorLøkka, Arneen_US
dc.creator.authorØksendal, Bernten_US
dc.creator.authorProske, Franken_US
dc.subject.nsiVDP::410en_US
dc.identifier.urnURN:NBN:no-24292en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo99391en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10704/1/pm27-01.pdf


Files in this item

Appears in the following Collection

Hide metadata