The generalization of the quantile
Teoriâ slučajnyh processov, Tome 14 (2008) no. 3, pp. 27-38.

Voir la notice de l'article provenant de la source Math-Net.Ru

@article{THSP_2008_14_3_a2,
     author = {Mykhaylo Bratyk and Yuliya Mishura},
     title = {The generalization of the quantile},
     journal = {Teori\^a slu\v{c}ajnyh processov},
     pages = {27--38},
     publisher = {mathdoc},
     volume = {14},
     number = {3},
     year = {2008},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/THSP_2008_14_3_a2/}
}
TY  - JOUR
AU  - Mykhaylo Bratyk
AU  - Yuliya Mishura
TI  - The generalization of the quantile
JO  - Teoriâ slučajnyh processov
PY  - 2008
SP  - 27
EP  - 38
VL  - 14
IS  - 3
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/THSP_2008_14_3_a2/
LA  - en
ID  - THSP_2008_14_3_a2
ER  - 
%0 Journal Article
%A Mykhaylo Bratyk
%A Yuliya Mishura
%T The generalization of the quantile
%J Teoriâ slučajnyh processov
%D 2008
%P 27-38
%V 14
%N 3
%I mathdoc
%U http://geodesic.mathdoc.fr/item/THSP_2008_14_3_a2/
%G en
%F THSP_2008_14_3_a2
Mykhaylo Bratyk; Yuliya Mishura. The generalization of the quantile. Teoriâ slučajnyh processov, Tome 14 (2008) no. 3, pp. 27-38. http://geodesic.mathdoc.fr/item/THSP_2008_14_3_a2/

[1] Androshchuk T., Mishura Y., “Mixed Brownian-fractional Brownian model: absence of arbitrage and related topics”, Stochastics: An International Journal of Probability and Stochastic Processes, 78:5 (2006), 281–300 | DOI | MR | Zbl

[2] Bratyk M., Mishura Y., “Quantile hedging with rediscounting on complete financial market”, Prykladna statystyka. Aktuarna i finansova matematyka, 2007, no. 2, 46–57

[3] Cheridito P., Regularizing fractional Brownian motion with a view towards stock price modeling, PhD thesis, Zurich, 2001 | MR

[4] Föllmer H., Leukert P., “Quantile hedging”, Finance Stochast, 3 (1999), 251–273 | DOI | MR | Zbl

[5] Hitsuda M., “Representation of Gaussian processes equivalent to Wiener process”, Osaka Journal of Mathematics, 5 (1968), 299–312 | MR | Zbl

[6] Krutchenko R. N., Melnikov A. V., “Quantile hedging for a jump-diffusion financial market model”, Trends in Mathematics, 2001, 215–229 | MR | Zbl