Friedrich Hubalek: Explicit Variance-Optimal Hedging for independent increments and related problems

 

Friedrich Hubalek (Vienna University of Technology) 

 

Title: 

 

Explicit Variance-Optimal Hedging for independent increments and related problems 

 

Abstract: 

 

We give a short introduction and overview on variance-optimal hedging 
in a general framework. We then present our explicit results for asset price processes 
with independent increments in discrete and continuous time (random 
walks resp. Levy processes), starting from simple payoffs depending on a single underlying 
asset, to multivariate and path-dependent payoffs. Numerical illustrations are given. 

 

This talk is based on joint work with Leszek Krawczyk and Jan Kallsen.