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Explicit Representation of the Minimal Variance Portfolio in Markets driven by Lévy processes. 
Benth, Fred Espen; Di Nunno, Giulia; Løkka, Arne; Øksendal, Bernt; Proske, Frank (Research report / Forskningsrapport, 2001)
In 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 ...
Uniqueness of Decompositions of Skorohod-Semimartingales 
Di Nunno, Giulia; Øksendal, Bernt; Proske, Frank; Menoukeu Pamen, Olivier (Research report / Forskningsrapport, 2009)
In this paper we introduce Skorohod-semimartingales as an expanded concept of classical semimartingales in the setting of Lévy processes. We show under mild conditions that Skorohod-semimartingales similarly to semimartingales ...
Malliavin Calculus and Anticipative Itô Formulae for Lévy Processes 
Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank (Research report / Forskningsrapport, 2003)
We introduce the forward integral with respect to a pure jump Lévy process and we prove and formula for this integral. Then we use Mallivin calculus to establish a relationship between the forward integral and the Skorohod ...
A general maximum principle for anticipative stochastic control and applications to insider trading 
Di Nunno, Giulia; Øksendal, Bernt; Menoukeu Pamen, Olivier; Proske, Frank (Research report / Forskningsrapport, 2009)
In this paper we suggest a general stochastic maximum principle for optimal control of anticipating stochastic differential equations driven by a Lévy type of noise. We use techniques of Malliavin calculus and forward ...
Anticipative stochastic control for Lévy processes with application to insider trading Previous title: Optimal Portfolio for a "large" Insider in a Market driven by Lévy Processes 
Di Nunno, Giulia; Kohatsu-Higa, Arturo; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank; Sulem, Agnès (Research report / Forskningsrapport, 2005)
An insider is an agent who has access to larger information than the one given by the development of the market events and who takes advantage of this in optimizing his position in the market. In this paper we consider the ...
Optimal Portfolio for an Insider in a Market Driven by Lévy Processes 
Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank (Research report / Forskningsrapport, 2003)
White Noise Analysis for Lévy Processes. 
Di Nunno, Giulia; Proske, Frank; Øksendal, Bernt (Research report / Forskningsrapport, 2002)
 
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Date Issued2009 (2)2005 (1)2003 (2)2002 (1)2001 (1)Document Type
Forskningsrapport (7)
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Di Nunno, Giulia (7)
Proske, Frank (7)
Øksendal, Bernt (7)Meyer-Brandis, Thilo (3)Menoukeu Pamen, Olivier (2)... View More
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