Let X be a continuous adapted process for which there exists an equivalent local martingale measure (ELMM). The minimal martingale measure P is the unique ELMM for X with the property that local P-martingales strongly orthogonal to the P-martingale part of X are also local P-martingales. We...

This paper gives an overview of results and developments in the area of pricing and hedging contingent claims in an incomplete market by means of a quadratic criterion. We first present the approach of risk-minimization in the case where the underlying discounted price process X is a local...

The ongoing transformation of the world's energy systems requires an international monitoring to evaluate the transformation processes and to identify transferable leading practice policies. For this purpose, an independent scientific expert commission should be established for the G20. By...

The ongoing transformation of the world’s energy systems requires an international monitoring to evaluate the transformation processes and to identify transferable leading practice policies. For this purpose, an independent scientific expert commission should be established for the G20. By...

We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a nondegeneracy condition on the conditional variances of asset...