M
Martin Schweizer
Researcher at ETH Zurich
Publications - 109
Citations - 8118
Martin Schweizer is an academic researcher from ETH Zurich. The author has contributed to research in topics: Martingale (probability theory) & Semimartingale. The author has an hindex of 43, co-authored 108 publications receiving 7866 citations. Previous affiliations of Martin Schweizer include University of Bonn & Hitotsubashi University.
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Book ChapterDOI
A guided tour through quadratic hedging approaches
TL;DR: In this paper, the authors give 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, and present the approach of risk-minimization in the case where the underlying discounted price process X is a local martingale.
Journal ArticleDOI
Exponential hedging and entropic penalties
Freddy Delbaen,Peter Grandits,Thorsten Rheinländer,Dominick Samperi,Martin Schweizer,Christophe Stricker +5 more
TL;DR: In this paper, the problem of hedging a contingent claim B by maximizing the expected exponential utility of terminal net wealth for a locally bounded semimartingale X was shown to be a dual problem for local martingale measures Q for X where we either minimize relative entropy minus a correction term involving B or maximize the Q-price of B subject to an entropic penalty term.
Journal ArticleDOI
On the minimal martingale measure and the möllmer-schweizer decomposition
TL;DR: In this article, three characterizations of the minimal martingale measure [Pcirc] associated to a given d-dimensional semimartingale X are provided. And they extend the result of Ansel and Stricker on the Follmer-Schweizer decomposition to the case where X is continuous, but multidimensional.
Posted Content
Exponential Hedging and Entropic Penalties
Freddy Delbaen,Peter Grandits,Thorsten Rheinländer,Dominick Samperi,Martin Schweizer,Martin Schweizer,Christophe Stricker +6 more
TL;DR: In this article, the problem of hedging a contingent claim B by maximizing the expected exponential utility of terminal net wealth for a locally bounded semimartingale X was shown to be a dual problem for local martingale measures Q for X where we either minimize relative entropy minus a correction term involving B or maximize the Q-price of B subject to an entropic penalty term.