Minimal Variance Hedging In A Discrete Time Market Driven By Markov Process
Mhlanga, Farai Julius
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Techniques in stochastic analysis are presented in a continuous time framework.We then review methods in quadratic hedging approaches with focus on minimal variance hedging in a discrete time framework. We also consider specific exercises. We then relate the results obtained in quadratic hedging methods to the case of a discrete time market driven by a Markov process.