We solve the problem of approximating in L2 a given random variable H by stochastic integrals GT (Î¸) of a given discrete-time process X. We interpret H as a contingent claim to be paid out at time Tâ€¦ (More)

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 approachâ€¦ (More)

We study the dynamics of the exponential utility indifference value process C(B; Î±) for a contingent claim B in a semimartingale model with a general continuous filtration. We prove that C(B; Î±) isâ€¦ (More)

Let X be an IR-valued continuous semimartingale, T a fixed time horizon and Î˜ the space of all IR-valued predictable X-integrable processes such that the stochastic integral G(Î¸) = âˆ« Î¸dX is aâ€¦ (More)

In this paper, we consider a security market in which two investors on different information levels maximize their expected logarithmic utility from terminal wealth. While the ordinary investorâ€™sâ€¦ (More)

Let X be a special semimartingale of the form X = X0 + M + âˆ« dã€ˆMã€‰ Î»Ì‚, denote by KÌ‚ = âˆ« Î»Ì‚ dã€ˆMã€‰ Î»Ì‚ the mean-variance tradeoff process of X and by Î˜ the space of predictable processes Î¸ for which theâ€¦ (More)

A valuation principle is a mapping that assigns a number (value) to a random variable (payoff). This paper constructs a transformation on valuation principles by embedding them in a financialâ€¦ (More)

We introduce and study no-good-deal valuation bounds defined in terms of expected utility. A utility-based good deal is a payoff whose expected utility is too high in comparison to the utility of itsâ€¦ (More)