Variance Optimal Hedging in incomplete market for processes with independent increments and applications to electricity market

Goutte, Stéphane (2010) Variance Optimal Hedging in incomplete market for processes with independent increments and applications to electricity market. Tesi di Dottorato, LUISS Guido Carli - Université Paris 13, Department of Economics and Finance > PhD Program in Mathematical Methods for Economics, Business, Finance and Insurance, tutor: Francesco Russo and Fausto Gozzi, p. 68. [Doctoral Thesis]

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Abstract/Index

For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is a process with independent increments (PII) and an exponential of a PII process. This allows to provide an efficient algorithm for solving the mean variance hedging problem. Applications to models derived from the electricity market are performed.

References

Bibliografia: pp. 65-68.

Item Type: Doctoral Thesis (PhD)
Research documents and activity classification: LUISS PhD Thesis
Divisions: Department of Economics and Finance > PhD Program in Mathematical Methods for Economics, Business, Finance and Insurance
Thesis Advisor: Russo, Francesco and Gozzi, Fausto
Additional Information: Dottorato di Ricerca in Metodi matematici per l'economia, l'azienda, la finanza e le assicurazioni (XXI ciclo), LUISS Guido Carli, Roma, 2010. Relatore: Prof. Francesco Russo, Correlatore: Prof. Fausto Gozzi.
Uncontrolled Keywords: Variance-optimal hedging, Föllmer-Schweizer decomposition, Lévy process, Cumulative generating function, Characteristic function, Normal Inverse Gaussian process, Electricity markets, Process with independent increments.
MIUR Scientific Area: Area 13 - Economics and Statistics > SECS-S/06 Mathematics for Economics, Actuarial Studies and Finance
Deposited by: Maria Teresa Nistico
Date Deposited: 20 Jul 2010 08:12
Last Modified: 22 Apr 2015 00:13
URI: http://eprints.luiss.it/id/eprint/683

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