Methods and Applications of Analysis
Volume 10 (2003)
MINIMAL VARIANCE HEDGING FOR FRACTIONAL BROWNIAN MOTION
Pages: 347 – 362
We discuss the extension to the multi-dimensional case of the Wick-Itô integral with respect to fractional Brownian motion, introduced by  in the 1-dimensional case. We prove a multidimensional Itô type isometry for such integrals, which is used in the proof of the multi-dimensional Itô formula. The results are applied to study the problem of minimal variance hedging in a market driven by fractional Brownian motions.