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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...

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La classe des semimartingales qui permettent d'intégrer les processus optionnels

La mesure de H. Föllmer en théorie des surmartingales

Le théorème de convergence des martingales dans les variétés riemanniennes d'après R.W. Darling et W.A. Zheng

Les intervalles de constance de $〈 X, X 〉$

Les «principes d'invariance» en probabilité sur l'espace de Wiener

Les semi-martingales et la théorie de la mesure

Les semi-martingales formelles

L'exponentielle stochastique des groupes de Lie

Lifting theorems for some classes of two parameter martingales.

Linear filtering of systems with memory and application to finance.

Local characteristics and absolute continuity conditions for d-dimensional semi-martingales

Local martingales measures

Local risk-minimization for multidimensional assets and payment streams

Local time and pathwise uniqueness for stochastic differential equations

Local times and almost sure convergence of semi-martingales

Lois de semimartingales et critères de compacité

Currently displaying 1 – 16 of 16