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Browsing by Author "Föllmer, Hans"
Now showing items 1-11 of 11
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2003-04-22BuchAmerican Options, Multi–armed Bandits, and Optimal Consumption Plans A Unifying ViewBank, Peter; Föllmer, HansIn this survey, we show that various stochastic optimization problems arising in option theory, in dynamical allocation problems, and in the microeconomic theory of intertemporal consumption choice can all be reduced to ...
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2006-03-09BuchCanonical decomposition of linear transformations of two independent Brownian motions Föllmer, Hans; Wu, Ching-Tang; Yor, MarcMotivated by the Kyle-Back model of “insider trading”, we consider certain classes of linear transformations of two independent Brownian motions and study their canonical decomposition as semimartingales in their own ...
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2001-03-06BuchConvergence of locally and globally interacting Markov chains Föllmer, Hans; Horst, Ulrich
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2001-10-20BuchConvex measures of risk and trading constraints Föllmer, Hans; Schied, Alexander
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2006-01-13BuchEfficient Hedging Cost versus Shortfall RiskFöllmer, Hans; Leukert, PeterAn investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often quite expensive, we study partial hedges, which require less capital and reduce the risk. In a previous ...
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2005-10-24BuchOn Itô's formula for multidimensional Brownian motion Föllmer, Hans; Protter, Philip
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2005-09-14BuchOn weak Brownian motions of arbitrary order Föllmer, Hans; Wu, Ching-Tang; Yor, Marc
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2006-06-07BuchOptional Decomposition and Lagrange Multipliers Föllmer, Hans; Kabanov, Yu. M.Let Q be the set of equivalent martingale measures for a given process S, and let X be a process which is a local supermartingale with respect to any measure in Q. The optional decomposition theorem for X states that there ...
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2006-06-01BuchOptional decompositions under constraints Föllmer, Hans; Kramkov, D.Motivated by a hedging problem in mathematical finance, El Karoui and Quenez [7] and Kramkov [14] have developed optional versions of the Doob-Meyer decomposition which hold simultaneously for all equivalent martingale ...
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2005-09-30BuchProbabilistic Aspects of Financial Risk Föllmer, Hans
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2006-01-20BuchQuantile Hedging Föllmer, Hans; Leukert, PeterIn a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial ...