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~person:"Bueno-Guerrero, Alberto"
~person:"Platen, Eckhard"
~subject:"Stochastic process"
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Stochastic process
Hedging
32
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18
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11
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11
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11
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11
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Bueno-Guerrero, Alberto
Platen, Eckhard
Kohlmann, Michael
13
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9
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6
Carr, Peter
6
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6
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6
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6
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5
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3
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3
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New methods in fixed income modeling : fixed income modeling
2
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Research Paper Number 296, Quantitative Finance Research Centre, University of Technology, Sydney, August 2011
1
Risks : open access journal
1
University of Technology, Sydney, Quantitative Finance Research Centre, Research Paper
1
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1
Pricing and
hedging
bond power exchange options in a stochastic string term-structure model
Blenman, Lloyd P.
;
Bueno-Guerrero, Alberto
;
Clark, Steven P.
- In:
Risks : open access journal
10
(
2022
)
10
,
pp. 1-17
-form expressions for pricing and
hedging
bond power exchange options are obtained and, as particular cases, the corresponding …
Persistent link: https://www.econbiz.de/10013555525
Saved in:
2
Sensitivity analysis and
hedging
in stochastic string models
Bueno-Guerrero, Alberto
;
Moreno, Manuel
;
Navas, Javier F.
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 151-167)
.
2018
Persistent link: https://www.econbiz.de/10012011646
Saved in:
3
Hedging
Asian bond options with Malliavin calculus under stochastic string models
Bueno-Guerrero, Alberto
;
Moreno, Manuel
;
Navas, Javier F.
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 169-180)
.
2018
Persistent link: https://www.econbiz.de/10012011647
Saved in:
4
Three-Benchmarked Risk Minimization for Jump Diffusion Markets
Du, Ke
-
2012
The paper discusses the problem of
hedging
not perfectly replicable contingent claims by using a benchmark, the … pricing and
hedging
for an increasing number of not fully replicable benchmarked contingent claims …
Persistent link: https://www.econbiz.de/10013098521
Saved in:
5
Benchmarked Risk Minimization for Jump Diffusion Markets
Platen, Eckhard
-
2012
The paper discusses the problem of
hedging
not perfectly replicable contingent claims by using a benchmark, the … pricing and
hedging
for an increasing number of not fully replicable benchmarked contingent claims …
Persistent link: https://www.econbiz.de/10013098766
Saved in:
6
Three-benchmarked risk minimization for jump diffusion markets
Du, Ke
;
Platen, Eckhard
-
2011
Persistent link: https://www.econbiz.de/10009564615
Saved in:
7
Currency derivatives under a minimal market model with random scaling
Heath, David C.
;
Platen, Eckhard
-
2005
Persistent link: https://www.econbiz.de/10002765054
Saved in:
8
A comparison of two quadratic approaches to
hedging
in incomplete markets
Heath, David C.
;
Platen, Eckhard
;
Schweizer, Martin
- In:
Mathematical finance : an international journal of …
11
(
2001
)
4
,
pp. 385-413
Persistent link: https://www.econbiz.de/10001620447
Saved in:
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