| Article ID: | iaor20013395 |
| Country: | Germany |
| Volume: | 51 |
| Issue: | 2 |
| Start Page Number: | 315 |
| End Page Number: | 339 |
| Publication Date: | Jan 2000 |
| Journal: | Mathematical Methods of Operations Research (Heidelberg) |
| Authors: | Pham H. |
| Keywords: | optimization |
We review the main results in the theory of quadratic hedging in a general incomplete model of continuous trading with semimartingale price process. The objective is to hedge contingent claims by using portfolio strategies. We describe two types of criteria: the so-called (local) risk-minimization and the mean-variance approaches. From a mathematical viewpoint, these optimization problems lead to new variants of decomposition theorems in stochastic analysis.