Open AccessCross hedging with stochastic correlation
Author(s) -
Stefan Ankirchner,
Gregor Heyne
Publication year - 2010
Publication title -
finance and stochastics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.949
H-Index - 50
eISSN - 1432-1122
pISSN - 0949-2984
DOI - 10.1007/s00780-010-0148-2
Subject(s) - mathematical finance , quadratic equation , mathematics , correlation , stochastic differential equation , stochastic process , simple (philosophy) , hedge , basis (linear algebra) , mathematical economics , class (philosophy) , econometrics , statistical physics , mathematical optimization , computer science , economics , statistics , financial economics , physics , geometry , ecology , philosophy , epistemology , artificial intelligence , biology
Cross hedging, Incomplete markets, Correlation, Local risk minimisation, BSDE, 91G20, 60H10, 60H07, C30, G13,
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