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Title of Journal: Sci China Ser AMath

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Abbravation: Science in China Series A: Mathematics

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SP Science in China Press

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10.1002/2014EO290001

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1862-2763

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Stochastic regression and its application to hedgi

Authors: BingYi Jing XinBing Kong Zhi Liu Bo Zhang
Publish Date: 2009/07/23
Volume: 52, Issue: 6, Pages: 1365-1372
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Abstract

In this paper we investigate how to employ stochastic regression to hedge risks in finance where the risk of a security is measured by its quadratic variation process Mykland and Zhang used this technique to demonstrate how to reduce the risk of a given security by introducing another security In this paper we investigate how to further reduce the remaining unhedgable risk by adding more hedging securities Some practical guidelines on how to choose those hedging securities in practice is also given

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Other Papers In This Journal:
  1. Global solutions of stochastic 2D Navier-Stokes equations with Lévy noise
  2. A Second Main Theorem on ℙ n for difference operator
  3. Spacelike Willmore surfaces in 4-dimensional Lorentzian space forms
  4. On finite 2-groups all of whose subgroups are mutually isomorphic
  5. Sharp Lipschitz constant of bi-Lipschitz automorphism on Cantor set
  6. Testing coefficients of AR and bilinear time series models by a graphical approach
  7. Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
  8. Corrected explicit-implicit domain decomposition algorithms for two-dimensional semilinear parabolic equations
  9. Conformal mappings and CR mappings on the Engel group
  10. Remarks on lines and minimal rational curves
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