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(Research report / Forskningsrapport, 2000)
(Research report / Forskningsrapport, 2000)
(Research report / Forskningsrapport, 2001)
In a market driven by a Lévy martingale, we consider a claim x. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We ...
(Research report / Forskningsrapport, 2000)
(Research report / Forskningsrapport, 1987)
(Research report / Forskningsrapport, 1999)
(Research report / Forskningsrapport, 2000)
(Research report / Forskningsrapport, 1999)
(Research report / Forskningsrapport, 1980)
(Research report / Forskningsrapport, 1987)