Voir la notice de l'article provenant de la source Biblioteca Digitale Italiana di Matematica
@article{BUMI_2004_8_7A_3_a17, author = {Di Nunno, Giulia}, title = {Differenziazione stocastica non-anticipativa e applicazioni alle coperture a varianza minima.}, journal = {Bollettino della Unione matematica italiana}, pages = {491--494}, publisher = {mathdoc}, volume = {Ser. 8, 7A}, number = {3}, year = {2004}, zbl = {1009.60045}, language = {it}, url = {http://geodesic.mathdoc.fr/item/BUMI_2004_8_7A_3_a17/} }
TY - JOUR AU - Di Nunno, Giulia TI - Differenziazione stocastica non-anticipativa e applicazioni alle coperture a varianza minima. JO - Bollettino della Unione matematica italiana PY - 2004 SP - 491 EP - 494 VL - 7A IS - 3 PB - mathdoc UR - http://geodesic.mathdoc.fr/item/BUMI_2004_8_7A_3_a17/ LA - it ID - BUMI_2004_8_7A_3_a17 ER -
%0 Journal Article %A Di Nunno, Giulia %T Differenziazione stocastica non-anticipativa e applicazioni alle coperture a varianza minima. %J Bollettino della Unione matematica italiana %D 2004 %P 491-494 %V 7A %N 3 %I mathdoc %U http://geodesic.mathdoc.fr/item/BUMI_2004_8_7A_3_a17/ %G it %F BUMI_2004_8_7A_3_a17
Di Nunno, Giulia. Differenziazione stocastica non-anticipativa e applicazioni alle coperture a varianza minima.. Bollettino della Unione matematica italiana, Série 8, 7A (2004) no. 3, pp. 491-494. http://geodesic.mathdoc.fr/item/BUMI_2004_8_7A_3_a17/
[1] Explicit representation of the minimal variance portfolio in markets driven by Lévy processes, Mathematical Finance, 13 (2003), 55-72.
, , , e ,[2] Stochastic integral representations, stochastic derivatives and minimal variance hedging, Stochastics and Stochastics Reports, 73 (2002), 181-198. | Zbl
,[3] Random fields evolution: non-anticipating integration and differentiation, Theory of Probability and Mathematical Statistics, 66 (2002), 82-94. | Zbl
,[4] White noise analysis for Lévy processes. To appear in Journal of Functional Analysis, 206 (2004), 109-148. | Zbl
, e ,[5] On stochastic integration and differentiation, Acta Applicandae Mathematicae, 58 (1999), 231-235. | Zbl
e ,[6] Hedging of contingent claims under incomplete information, Applied Stochastic Analysis, 5, Gordon and Breach, 1991.
e ,[7] Limit Theorems for Stochastic Processes, Springer-Verlag, 1987. | Zbl
e ,[8] On Lévy processes, Malliavin Calculus and market models with jumps, Finance and Stochastics, 6 (2002), 197-225, 5538-5574.
, , e ,