Subject: Incomplete markets, Martingale decompositions, Kunita-Watanabe and Fo¨llmer-Schweizer decomposition
Year: 2011
Type: Proceeding article
Title: Martingale Decompositions and incomplete Markets
Author: Tojtovska, Biljana
Abstract: 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 Fo¨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.
Publisher: Institute of Informatics, Faculty of Natural Sciences and Mathematics, Ss. Cyril and Methodius University in Skopje, Macedonia
Relation: CIIT 2011
Identifier: oai:repository.ukim.mk:20.500.12188/20107
Identifier: http://hdl.handle.net/20.500.12188/20107
