Stochastic regression and its application to hedging in finance  

作　　者：JING BingYi KONG XinBing LIU Zhi ZHANG Bo 

机构地区：[1]Department of Mathematics,Hong Kong University of Science and Technology,Clear Water Bay,Kowloon,Hong Kong,China [2]School of Statistics,Renmin University of China,Beijing 100072,China

出　　处：《Science China Mathematics》2009年第6期1365-1372,共8页中国科学：数学（英文版）

基　　金：supported by Hong Kong RGC(Grant Nos.HKUST6011/07P,HKUST6015/08P);supported in part by National Natural Science Foundation of China(Grant No.10771214)

摘　　要：In this paper we investigate how to employ stochastic regression to hedge risks in finance,where the risk of a security is measured by its quadratic variation process.Mykland and Zhang used this technique to demonstrate how to reduce the risk of a given security by introducing another security.In this paper,we investigate how to further reduce the remaining unhedgable risk by adding more hedging securities.Some practical guidelines on how to choose those hedging securities in practice is also given.In this paper we investigate how to employ stochastic regression to hedge risks in finance, where the risk of a security is measured by its quadratic variation process. Mykland and Zhang used this technique to demonstrate how to reduce the risk of a given security by introducing another security. In this paper, we investigate how to further reduce the remaining unhedgable risk by adding more hedging securities. Some practical guidelines on how to choose those hedging securities in practice is also given.

关 键 词：RISKS HEDGING SEMIMARTINGALE Ito process 

分 类 号：O212.1[理学—概率论与数理统计]