Mean-Variance Hedging and Optimal Investment in Heston's Model with Correlation-Reference-Cited by-同舟云学术

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Mean-Variance Hedging and Optimal Investment in Heston's Model with Correlation

Published:2006 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Cerny Ales,Kallsen Jan

Publisher

Elsevier BV

Reference23 articles.

1. Mean-variance hedging for stochastic volatility models;F Biagini;FORMS Applied Probability Conference,1999

2. Simplifying portfolio insurance;F Black;Journal of Portfolio Management,1987

3. On some filtering problems arising in mathematical finance;D Brigo;Insurance: Mathematics and Economics,1998

4. Optimal continuous-time hedging with leptokurtic returns;A Cern�ycern�y;Mathematical Finance,2007

5. The theory of good-deal pricing in financial markets;A Cern�ycern�y;Mathematical Finance,2000

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