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Hedging and/or utility indifference pricing in stochastic volatility models with jumps

Le : 09/05/2008 10h00
Par : Jan KALLSEN (University of Kiel - Germany)
Lieu :
Lien web :
Résumé : A key problem in financial mathematics is how to hedge a contingent claim by dynamic trading in the underlying. Since models based on jump processes or stochastic volatility are incomplete, perfect replication is typically impossible. As a natural alternative one may seek to minimize the expected squared hedging error. In this talk we discuss how to compute the optimal hedge and the corresponding hedging error semi-explicitly in a variety of affine asset price models with stochastic volatility and jumps. We will also touch on exponential utility indifference pricing and hedging in affine models.