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We present a general transfer theorem for random sequences with independent random indexes in the double array limit setting. We also prove its partial inverse providing necessary and sufficient conditions for the convergence of randomly indexed random sequences. Special attention is paid to the cases of random sums of independent not necessarily identically distributed random variables and sta...

In this paper, we consider the problem of mean-variance hedging in an incomplete market where the underlying assets are jump diffusion processes which are driven by Brownian motion and doubly stochastic Poisson processes. This problem is formulated as a stochastic control problem and closed form expressions for the optimal hedging policy are obtained using methods from stochastic control and th...

We consider the mean-variance hedging problem under partial Information. The underlying asset price process follows a continuous semimartingale and strategies have to be constructed when only part of the information in the market is available. We show that the initial mean variance hedging problem is equivalent to a new mean variance hedging problem with an additional correction term, which is ...

In this paper we analyse the mean-variance hedging approach in an incomplete market under the assumption of additional market information, which is represented by a given, finite set of observed prices of non-attainable contingent claims. Due to no-arbitrage arguments, our set of investment opportunities increases and the set of possible equivalent martingale measures shrinks. Therefore, we obt...

We derive optimal reinsurance under premium principles based on the mean and variance of the reinsurer’s share of the total claim amount. Both global reinsurance and local reinsurance are studied. Examples considered include standard deviation principle and variance principle. © 2001 Elsevier Science B.V. All rights reserved. MSC: Primary 90A46; Secondary 62P05

Transaction costs can make it unprofitable to rebalance all the way to the ideal portfolio. A single-period analysis using mean-variance theory provides many interesting insights. With fixed or variable costs, there is a non-trading region within which trading does not pay. With only variable costs, any trading is to the boundary of the non-trading region, while fixed costs induce trading to th...

The realized variance (RV) is known to be biased because intraday returns are contaminated with market microstructure noise, in particular if intraday returns are sampled at high frequencies. In this paper, we characterize the bias under a general specification for the market microstructure noise, where the noise may be autocorrelated and need not be independent of the latent price process. Wit...