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http://hdl.handle.net/20.500.12188/20107| Title: | Martingale Decompositions and incomplete Markets | Authors: | Tojtovska, Biljana | Keywords: | Incomplete markets, Martingale decompositions, Kunita-Watanabe and Fo¨llmer-Schweizer decomposition | Issue Date: | 2011 | Publisher: | Institute of Informatics, Faculty of Natural Sciences and Mathematics, Ss. Cyril and Methodius University in Skopje, Macedonia | Conference: | CIIT 2011 | Abstract: | We are interested in the problem of finding an optimal strategy for a non-attainable contingent claim in an incomplete market consisting of two traded assets. We discuss and compare the Kunita-Watanabe and Fo¨llmer-Schweizer martingale decomposition and use them for finding the risk-minimizing trading strategy. The theory of stable spaces and minimal martingale measure is used and the differences in the models are discussed. | URI: | http://hdl.handle.net/20.500.12188/20107 |
| Appears in Collections: | Faculty of Computer Science and Engineering: Conference papers |
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| 8CiiT-23.pdf | 127.47 kB | Adobe PDF | View/Open |
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