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Auflistung nach Autor "Schweizer, Martin"
Anzeige der Publikationen 1-7 von 7
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1999-11-15BuchA Guided Tour through Quadratic Hedging Approaches Schweizer, Martin
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2006-03-16BuchA Minimality Property of the Minimal Martingale Measure Schweizer, MartinLet X be a continuous adapted process for which there exists an equivalent local martingale measure (ELMM). The minimal martingale measure P is the unique ELMM for X with the property that local P-martingales strongly ...
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2006-01-27BuchAdditional Logarithmic Utility of an Insider Amendinger, Jürgen; Imkeller, Peter; Schweizer, MartinIn this paper, we consider a security market in which two investors on different information levels maximize their expected logarithmic utility from terminal wealth. While the ordinary investor’s portfolio decisions are ...
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2006-01-25BuchLocal Risk-Minimization under Transaction Costs Lamberton, Damien; Pham, Huyên; Schweizer, MartinWe propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk ...
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2006-06-01BuchMean-Variance Hedging for Continuous Processes Pham, Huyên; Rheinländer, Thorsten; Schweizer, Martin
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2006-06-01BuchOn L2-Projections on a Space of Stochastic Integrals Rheinländer, Thorsten; Schweizer, Martin
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2000-04-07BuchQuantifying the Value of Initial Investment Information Amendinger, Jürgen; Becherer, Dirk; Schweizer, Martin