It is well known that mean-variance portfolio selection is a time-inconsistent optimal control
problem in the sense that it does not satisfy Bellman's optimality principle and therefore the …

Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing
appropriate hedging techniques depends on both the type of derivative and assumptions …

We consider the expected utility maximisation problem and its response to small changes in
the market price of risk in a continuous semimartingale setting. Assuming that the …

In this paper we investigate the hedging problem of a unit-linked life insurance contract via
the local risk-minimization approach, when the insurer has a restricted information on the …

In this paper we investigate the local risk-minimization approach for a combined financial-
insurance model where there are restrictions on the information available to the insurance …

We develop a theory of local risk minimization for payment processes in discrete time, and
apply this theory to the pricing and hedging of equity-linked life-insurance contracts. Thus …

In this paper we investigate the local risk-minimization approach for a semimartingale
financial market where there are restrictions on the available information to agents who can …

In the context of a locally risk-minimizing approach, the problem of hedging defaultable
claims and their Föllmer–Schweizer decompositions are discussed in a structural model …

We consider a set Q of probability measures, which are absolutely continuous with respect
to the physical probability measure P and at least one is equivalent to P. We investigate in …

We discuss dynamic hedging of counterparty risk for a portfolio of credit derivatives by the
local risk-minimization approach. We study the problem from the perspective of an investor …