Martingale Decompositions and incomplete Markets

Tojtovska, Biljana (2011) Martingale Decompositions and incomplete Markets. In: Proceedings of the Eighth Conference on Informatics and Information Technology. Institute of Informatics, Faculty of Natural Sciences and Mathematics, Ss. Cyril and Methodius University in Skopje, Macedonia, Skopje, Macedonia, pp. 104-106. ISBN 978-9989-668-90-6


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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 F ̈ o 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.

Item Type: Book Section
Uncontrolled Keywords: Incomplete markets, Martingale decompositions, Kunita-Watanabe and F-o llmer-Schweizer decomposition
Subjects: International Conference on Informatics and Information Technologies > Optimization
International Conference on Informatics and Information Technologies > Signal Processing
Depositing User: Vangel Ajanovski
Date Deposited: 28 Oct 2016 00:15
Last Modified: 28 Oct 2016 00:15

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