Library

X
feed icon rss

Your email was sent successfully. Check your inbox.

An error occurred while sending the email. Please try again.

Proceed reservation?

Export
  • 1
    Electronic Resource
    Electronic Resource
    Mean-Variance Hedging and Numéraire (1998)
    Boston, USA and Oxford, UK : Blackwell Publishers Inc
    Mathematical finance 8 (1998), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider the mean-variance hedging problem when the risky assets price process is a continuous semimartingale. The usual approach deals with self-financed portfolios with respect to the primitive assets family. By adding a numéraire as an asset to trade in, we show how self-financed portfolios may be expressed with respect to this extended assets family, without changing the set of attainable contingent claims.We introduce the hedging numéraire and relate it to the variance-optimal martingale measure. Using this numéraire both as a deflator and to extend the primitive assets family, we are able to transform the original mean-variance hedging problem into an equivalent and simpler one; this transformed quadratic optimization problem is solved by the Galtchouk–Kunita–Watanabe projection theorem under a martingale measure for the hedging numéraire extended assets family. This gives in turn an explicit description of the optimal hedging strategy for the original mean-variance hedging problem.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00052
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 2
    Electronic Resource
    Electronic Resource
    ERPs of metaphoric, literal, and incongruous semantic processing in schizophrenia (2005)
    Oxford, UK : Blackwell Publishing
    Psychophysiology 42 (2005), S. 0 
    Details
    ISSN: 1469-8986
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Medicine , Psychology
    Notes: The ability of schizophrenia patients to access metaphorical meaning was studied on the basis of psycholinguistic models of metaphor processing. ERPs were recorded from 20 schizophrenic and 20 control participants who were asked to read metaphorical, literal, and incongruous sentences and to judge their meaningfulness. In all participants, incongruous endings to sentences evoked the most negative N400 amplitude, whereas literal endings evoked more negative N400 amplitude than metaphorical ones, consistent with the direct model of metaphor processing. Although the patients had ERPs patterns that were similar to controls, they exhibited a more negative N400 amplitude for all sentences, LPC amplitude reduction, and latency delay in both components. The results suggest that schizophrenics have no specific anomalies in accessing the meaning of metaphors but are less efficient in integrating the semantic context of all sentences—both figurative and literal.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1469-8986.2005.00303.x
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 3
    Electronic Resource
    Electronic Resource
    Hippocampal long-term potentiation and neural cell adhesion molecules L1 and NCAM (1994)
    [s.l.] : Nature Publishing Group
    Nature 372 (1994), S. 777-779 
    Details
    ISSN: 1476-4687
    Source: Nature Archives 1869 - 2009
    Topics: Biology , Chemistry and Pharmacology , Medicine , Natural Sciences in General , Physics
    Notes: [Auszug] LTP of the field excitatory postsynaptic potential (e.p.s.p.) in the CA1 stratum pyramidale was induced by 6 -burst stimulation (TBS)14. Local ejection of polyclonal antibodies against LI within the apical dendritic field of CA1 neurons produced a concentration-dependent decay of LTP (Fig. 16, c). ...
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1038/372777a0
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 4
    Electronic Resource
    Electronic Resource
    Dynamic programming and mean-variance hedging (1999)
    Springer
    Finance and stochastics 3 (1999), S. 83-110 
    Details
    ISSN: 1432-1122
    Keywords: Key words: Hedging, incomplete markets, dynamic programming, hedging numéraire, variance-optimal martingale measure JEL classification: G11, G12. Mathematics Subject Classification (1991): 90A09, 60H30, 90C39.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract. We consider the mean-variance hedging problem when asset prices follow Itô processes in an incomplete market framework. The hedging numéraire and the variance-optimal martingale measure appear to be a key tool for characterizing the optimal hedging strategy (see Gouriéroux et al. 1996; Rheinländer and Schweizer 1996). In this paper, we study the hedging numéraire $\tilde a$ and the variance-optimal martingale measure $\tilde P$ using dynamic programming methods. We obtain new explicit characterizations of $\tilde a$ and $\tilde P$ in terms of the value function of a suitable stochastic control problem. We provide several examples illustrating our results. In particular, for stochastic volatility models, we derive an explicit form of this value function and then of the hedging numéraire and the variance-optimal martingale measure. This provides then explicit computations of optimal hedging strategies for the mean-variance hedging problem in usual stochastic volatility models.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s007800050053
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
Close ⊗
This website uses cookies and the analysis tool Matomo. More information can be found here...