Tid: fredagen den 14 december 2000 kl 1015-1100 (OBS! Dag och tid)
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Henrik Hult
Titel: Quadratic hedging - An overview.
We study the problem of finding an optimal hedging strategy using quadratic criteria in an incomplete continuous time market where the stock price is modelled by a general semimartingale. Because of market incompleteness we can not, for a general claim, find a trading strategy which is self financing and at the same time generates the claim. In the paper we study two different approaches. First we insist on finding a trading strategy which generates a given claim and show how to obtain the so called locally risk minimizing strategy. Then we insist on the self financing condition and show how to obtain the variance optimal trading strategy. We provide results on existence and structure of such strategies. We also discuss pricing of options in this model.
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