In this paper, for any submartingale of class (Σ) defined on a filtered probability space (Ω,F,P,(Ft)t≥0) satisfying some technical conditions, we associate a σ-finite measure Q on (Ω,F), such that for all t≥0, and for all events Λt∈Ft: Q[Λt,g≤t]=EP[1ΛtXt], where g is the last...

We solve the problem of mean-variance hedging for general semimartingale modelsvia stochastic control methods. After proving that the value process of theassociated stochastic control problem has a quadratic structure, we characteriseits three coefficient processes as solutions of semimartingale...

We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic control problem has a quadratic structure, we characterise its three coefficient processes as solutions of...