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- W2067387660 abstract "We construct a market of bonds with jumps driven by a general marked point process as well as by a ℝ n -valued Wiener process based on Björk et al. [6 Björk , T. , Kabanov , Y. , and Runggaldier , W. 1997 . Bond market structure in the presence of marked point processes . Math. Finance 7 : 211 – 223 .[Crossref], [Web of Science ®] , [Google Scholar]], in which there exists at least one equivalent martingale measure Q 0. Then we consider the mean-variance hedging of a contingent claim H ∈ L 2(ℱ T 0 ) based on the self-financing portfolio based on the given maturities T 1,…, T n with T 0 < T 1 < … <T n ≤ T*. We introduce the concept of variance-optimal martingale (VOM) and describe the VOM by a backward semimartingale equation (BSE). By making use of the concept of ℰ*-martingales introduced by Choulli et al. [8 Choulli , T. , Krawczyk , L. , and Stricker , C. 1998 . ℰ-martingales and their applications in mathematical finance . The Annals of Probability 26 ( 2 ): 853 – 876 .[Crossref], [Web of Science ®] , [Google Scholar]], we obtain another BSE which has a unique solution. We derive an explicit solution of the optimal strategy and the optimal cost of the mean-variance hedging by the solutions of these two BSEs." @default.
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- W2067387660 date "2010-08-13" @default.
- W2067387660 modified "2023-09-23" @default.
- W2067387660 title "The Mean-Variance Hedging in a Bond Market with Jumps" @default.
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- W2067387660 doi "https://doi.org/10.1080/07362994.2010.503463" @default.
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