A stochastic oil price model for optimal hedging and risk management
Year of publication: |
2022
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Authors: | Pennanen, Teemu ; Bonatto, Luciane Sbaraini |
Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 25.2022, 2, Art.-No. 2250009, p. 1-27
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Subject: | illiquid markets | market incompleteness | market risk | Oil prices | optimal hedging | risk management | stochastic modeling | Hedging | Risikomanagement | Risk management | Ölpreis | Oil price | Unvollkommener Markt | Incomplete market | Theorie | Theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Volatilität | Volatility |
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