Differenziazione stocastica non-anticipativa e applicazioni alle coperture a varianza minima.

Giulia Di Nunno

Bollettino dell'Unione Matematica Italiana (2004)

  • Volume: 7-A, Issue: 3, page 491-494
  • ISSN: 0392-4041

How to cite

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Di Nunno, Giulia. "Differenziazione stocastica non-anticipativa e applicazioni alle coperture a varianza minima.." Bollettino dell'Unione Matematica Italiana 7-A.3 (2004): 491-494. <http://eudml.org/doc/289393>.

@article{DiNunno2004,
abstract = {},
author = {Di Nunno, Giulia},
journal = {Bollettino dell'Unione Matematica Italiana},
language = {ita},
month = {12},
number = {3},
pages = {491-494},
publisher = {Unione Mastematica Italiana},
title = {Differenziazione stocastica non-anticipativa e applicazioni alle coperture a varianza minima.},
url = {http://eudml.org/doc/289393},
volume = {7-A},
year = {2004},
}

TY - JOUR
AU - Di Nunno, Giulia
TI - Differenziazione stocastica non-anticipativa e applicazioni alle coperture a varianza minima.
JO - Bollettino dell'Unione Matematica Italiana
DA - 2004/12//
PB - Unione Mastematica Italiana
VL - 7-A
IS - 3
SP - 491
EP - 494
AB -
LA - ita
UR - http://eudml.org/doc/289393
ER -

References

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  1. BENTH, F.E., DI NUNNO, G., LØKKA, A., ØKSENDAL, B. e PROSKE, F., Explicit representation of the minimal variance portfolio in markets driven by Lévy processes, Mathematical Finance, 13 (2003), 55-72. 
  2. DI NUNNO, G., Stochastic integral representations, stochastic derivatives and minimal variance hedging, Stochastics and Stochastics Reports, 73 (2002), 181-198. Zbl1009.60045
  3. DI NUNNO, G., Random fields evolution: non-anticipating integration and differentiation, Theory of Probability and Mathematical Statistics, 66 (2002), 82-94. Zbl1027.60045
  4. DI NUNNO, G., ØKSENDAL, B. e PROSKE, F., White noise analysis for Lévy processes. To appear in Journal of Functional Analysis, 206 (2004), 109-148. Zbl1078.60054
  5. DI NUNNO, G. e ROZANOV, Y.A., On stochastic integration and differentiation, Acta Applicandae Mathematicae, 58 (1999), 231-235. Zbl0949.60061
  6. FÖLLMER, H. e SCHWEIZER, M., Hedging of contingent claims under incomplete information, Applied Stochastic Analysis, 5, Gordon and Breach, 1991. 
  7. JACOD, J. e SHIRYAEV, A.N., Limit Theorems for Stochastic Processes, Springer-Verlag, 1987. Zbl0635.60021
  8. LÉON, J.A., SOLÉ, J.L., UTZET, F. e VIVES, J., On Lévy processes, Malliavin Calculus and market models with jumps, Finance and Stochastics, 6 (2002), 197-225, 5538-5574. 

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