Thorsten Rheinländer

Exponential Hedging and Entropic Penalties

We solve the problem of hedging a contingent claim B by maximizing the expected exponential utility of terminal net wealth for a locally bounded semimartingale X. We prove a duality relation between this problem and a dual problem for local martingale measures Q for X where we either minimize relative entropy minus a correction term involving B or maximize the Q-price of B subject to an entropic penalty term. Our result is robust in the sense that it holds for several choices of the space of hedging strategies. Applications include a new characterization of the minimal martingale measure and risk-averse asymptotics.

Mean-variance hedging for continuous processes: New proofs and examples

Abstract. Let

An entropy approach to the Stein and Stein model with correlation

X

A stochastic version of Zeeman's market model

be a special semimartingale of the form

Relative Liquidity and Future Volatility

X=X_0+M+\int d\langle M\rangle\,\widehat\lambda

Consistent Factor Models For Temperature Markets

and denote by

VALUATION OF BARRIER OPTIONS VIA A GENERAL SELF‐DUALITY

\widehat K=\int \widehat\lambda^{\rm tr}\,d\langle M\rangle\,\widehat\lambda

Introduction to Stochastic Integration

the mean-variance tradeoff process of

Introductory Stochastic Analysis for Finance and Insurance

X

Risk Management: Value at Risk and Beyond

. Let