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~person:"Bouri, Elie"
~person:"Föllmer, Hans"
~source:"repec"
~type:"book"
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Search: subject:"Hedging"
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Hedging
2
stochastic volatility
2
Neyman Pearson lemma
1
asset prices
1
convex duality
1
efficient hedges
1
hedging
1
lower partial moments
1
noise traders
1
probabilistic cellur automata
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random environment
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risk management
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shortfall risk
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superhedging
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temporary equilibria
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value at risk
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Bouri, Elie
Föllmer, Hans
McAleer, Michael
26
Broll, Udo
22
Chang, Chia-Lin
15
Hammoudeh, Shawkat
11
Cotter, John
9
Lépinette-Denis, Emmanuel
9
Bouchard, Bruno
8
Dionne, Georges
8
Jobst, Andreas
8
Lautier, Delphine
8
Wahl, Jack E.
8
Alexander, Carol
7
Dale, Charles
7
Schweizer, Martin
7
Shiller, Robert J.
7
Touzi, Nizar
7
Fulli-Lemaire, Nicolas
6
Hanly, Jim
6
Borensztein, Eduardo
5
Galli, Alain
5
Garcia, Philip
5
Leuthold, Raymond M.
5
Normandin, Michel
5
Ong, Li L.
5
Viceira, Luis M
5
Vignola, Anthony
5
Wilson, William W.
5
Ötker, Inci
5
Acharya, Viral V
4
Allen, David E.
4
Aïd, René
4
Bartram, Söhnke M.
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Chamon, Marcos
4
Chan-Lau, Jorge A.
4
Chateauneuf, Alain
4
Chemla, Gilles
4
Dahlgran, Roger A.
4
Eckwert, Bernhard
4
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
2
University of Bonn, Germany
1
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SFB 373 Discussion Papers
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RePEc
ECONIS (ZBW)
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EconStor
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Efficient
hedging
: Cost versus shortfall risk
Föllmer, Hans
;
Leukert, Peter
-
Sonderforschungsbereich 373, Quantifikation und …
-
1999
An investor faced with a contingent claim may eliminate risk by (super-)
hedging
in a financial market. As this is often …
Persistent link: https://www.econbiz.de/10010983650
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2
Quantile
hedging
Föllmer, Hans
;
Leukert, Peter
-
Sonderforschungsbereich 373, Quantifikation und …
-
1998
study the question what an investor can do who is unwilling to spend that much, and who is ready to use a
hedging
strategy …
Persistent link: https://www.econbiz.de/10010983573
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3
Stock Price Fluctuation as a Diffusion in a Random Environment
Föllmer, Hans
-
University of Bonn, Germany
-
1993
The fluctuation of stock prices is modelled as a sequence of temporary equilibria on a financial market with different types of agents. We summarize joint work with M. Schweizer on the class of Ornstein-Uhlenbeck processes in a random environment which appears in the diffusion limit. Moreover,...
Persistent link: https://www.econbiz.de/10005032176
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