Incomplete markets

J Staum - Handbooks in operations research and management …, 2007 - Elsevier
In reality, markets are incomplete, meaning that some payoffs cannot be replicated by
trading in marketed securities. The classic no-arbitrage theory of valuation in a complete …

On quadratic hedging in continuous time

H Pham - Mathematical Methods of Operations Research, 2000 - Springer
We review the main results in the theory of quadratic hedging in a general incomplete model
of continuous trading with semimartingale price process. The objective is to hedge …

[PDF][PDF] Minimal martingale measure

H Föllmer, M Schweizer - Encyclopedia of Quantitative Finance, 2010 - academia.edu
Suppose discounted asset prices in a financial market are given by a P-semimartingale of
the form S= S0+ M+ A. The minimal martingale measure for S is characterised by the …

Polynomial diffusion models for life insurance liabilities

F Biagini, Y Zhang - Insurance: Mathematics and Economics, 2016 - Elsevier
In this paper we study the pricing and hedging problem of a portfolio of life insurance
products under the benchmark approach, where the reference market is modelled as driven …

Local risk minimization for defaultable markets

F Biagini, A Cretarola - Mathematical Finance: An International …, 2009 - Wiley Online Library
We study the local risk minimization approach for defaultable markets in a general setting
where the asset price dynamics and the default time may influence each other. We find the …

Quadratic hedging methods for defaultable claims

F Biagini, A Cretarola - Applied Mathematics and Optimization, 2007 - Springer
We apply the local risk-minimization approach to defaultable claims and we compare it with
intensity-based evaluation formulas and the mean-variance hedging. We solve analytically …

Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts

J Pansera - Insurance: mathematics and Economics, 2012 - Elsevier
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 …

Local risk-minimization under the benchmark approach

F Biagini, A Cretarola, E Platen - Mathematics and Financial Economics, 2014 - Springer
We study the pricing and hedging of derivatives in incomplete financial markets by
considering the local risk-minimization method in the context of the benchmark approach …

Quadratic hedging in finance and insurance

N Vandaele - 2010 - biblio.ugent.be
Quadratic hedging is a specific form of utility hedging, where the strategy minimizes the
hedging error in mean square sense. Hence risk is in this case quantified as variance. One …

Evaluating hybrid products: the interplay between financial and insurance markets

F Biagini - Seminar on Stochastic Analysis, Random Fields and …, 2013 - Springer
A current issue in the theory and practice of insurance and reinsurance markets is to find
alternative ways of securitizing risks. Insurance companies have the possibility of investing …