Matches in SemOpenAlex for { <https://semopenalex.org/work/W1829594703> ?p ?o ?g. }
Showing items 1 to 63 of
63
with 100 items per page.
- W1829594703 abstract "We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by a pure jump Markov process. Using the Hamilton–Jacobi–Bellman approach, the value function of the quadratic hedging problem can be related to a triangular system of parabolic partial integrodifferential equations (PIDEs), which can be shown to possess unique smooth solutions in our setting. The first equation is nonlinear, but does not depend on the payoff of the option to hedge (the pure investment problem), while the other two equations are linear. We propose convergent finite-difference schemes for the numerical solution of these PIDEs and illustrate our results with an application to electricity markets, where time-inhomogeneous pure jump Markov processes naturally occur." @default.
- W1829594703 created "2016-06-24" @default.
- W1829594703 creator A5000513018 @default.
- W1829594703 creator A5052828075 @default.
- W1829594703 creator A5080923488 @default.
- W1829594703 date "2015-01-01" @default.
- W1829594703 modified "2023-09-26" @default.
- W1829594703 title "Numerical methods for the quadratic hedging problem in Markov models with jumps" @default.
- W1829594703 cites W1999776166 @default.
- W1829594703 cites W2003651071 @default.
- W1829594703 cites W3120164020 @default.
- W1829594703 cites W3122787751 @default.
- W1829594703 hasPublicationYear "2015" @default.
- W1829594703 type Work @default.
- W1829594703 sameAs 1829594703 @default.
- W1829594703 citedByCount "0" @default.
- W1829594703 crossrefType "journal-article" @default.
- W1829594703 hasAuthorship W1829594703A5000513018 @default.
- W1829594703 hasAuthorship W1829594703A5052828075 @default.
- W1829594703 hasAuthorship W1829594703A5080923488 @default.
- W1829594703 hasBestOaLocation W18295947032 @default.
- W1829594703 hasConcept C105795698 @default.
- W1829594703 hasConcept C126255220 @default.
- W1829594703 hasConcept C129844170 @default.
- W1829594703 hasConcept C144237770 @default.
- W1829594703 hasConcept C149782125 @default.
- W1829594703 hasConcept C159886148 @default.
- W1829594703 hasConcept C163836022 @default.
- W1829594703 hasConcept C2524010 @default.
- W1829594703 hasConcept C28826006 @default.
- W1829594703 hasConcept C33923547 @default.
- W1829594703 hasConcept C41008148 @default.
- W1829594703 hasConcept C98763669 @default.
- W1829594703 hasConceptScore W1829594703C105795698 @default.
- W1829594703 hasConceptScore W1829594703C126255220 @default.
- W1829594703 hasConceptScore W1829594703C129844170 @default.
- W1829594703 hasConceptScore W1829594703C144237770 @default.
- W1829594703 hasConceptScore W1829594703C149782125 @default.
- W1829594703 hasConceptScore W1829594703C159886148 @default.
- W1829594703 hasConceptScore W1829594703C163836022 @default.
- W1829594703 hasConceptScore W1829594703C2524010 @default.
- W1829594703 hasConceptScore W1829594703C28826006 @default.
- W1829594703 hasConceptScore W1829594703C33923547 @default.
- W1829594703 hasConceptScore W1829594703C41008148 @default.
- W1829594703 hasConceptScore W1829594703C98763669 @default.
- W1829594703 hasLocation W18295947031 @default.
- W1829594703 hasLocation W18295947032 @default.
- W1829594703 hasOpenAccess W1829594703 @default.
- W1829594703 hasPrimaryLocation W18295947031 @default.
- W1829594703 hasRelatedWork W1732037943 @default.
- W1829594703 hasRelatedWork W1964016937 @default.
- W1829594703 hasRelatedWork W2020200660 @default.
- W1829594703 hasRelatedWork W2054286073 @default.
- W1829594703 hasRelatedWork W2058961508 @default.
- W1829594703 hasRelatedWork W2060100303 @default.
- W1829594703 hasRelatedWork W2166250453 @default.
- W1829594703 hasRelatedWork W3198596521 @default.
- W1829594703 hasRelatedWork W4287550748 @default.
- W1829594703 hasRelatedWork W7769338 @default.
- W1829594703 isParatext "false" @default.
- W1829594703 isRetracted "false" @default.
- W1829594703 magId "1829594703" @default.
- W1829594703 workType "article" @default.