Local risk-minimization for multidimensional assets and payment streams

• Autorzy: Martin Schweizer
• Języki publikacji: EN

Abstrakty

EN

One of the earliest concepts for hedging and pricing in incomplete financial markets has been the quadratic criterion of local risk-minimization. However, definitions and theory have so far been established only for the case of a single (one-dimensional) risky asset. We extend the approach to a general multidimensional setting and prove that the basic martingale characterization result for locally risk-minimizing strategies still holds true. In comparison with existing literature, the self-contained presentation is more streamlined, and a number of earlier imposed technical conditions are no longer needed. As a minor extension, we show how payment streams (instead of final payoffs only) can be handled as well.

Kategorie tematyczne

• 60G35: Signal detection and filtering
• 60G48: Generalizations of martingales

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2008
• Tom: 83
• Numer: 1
• Strony: 213-229

Daty

wydano

2008

Twórcy

autor

Martin Schweizer

• ETH Zürich, Departement Mathematik, ETH-Zentrum, HG G 51.2, CH-8092 Zürich, Switzerland

Identyfikatory

DOI

10.4064/bc83-0-13