Search Results - subject:"Partial hedging"

Partial hedging in credit markets with structured derivatives: A quantitative approach using put options

Siggelkow, Constantin - In: Journal of Derivatives and Quantitative Studies: … 32 (2024) 4, pp. 286-322

This study develops a novel method for mitigating credit risk through the use of structured derivatives, focusing in particular on the use of European put options as a strategic hedging tool. Inspired by the work of Merton (1974), our approach introduces the concept of default triggered by the...

Persistent link: https://www.econbiz.de/10015607534

Partial hedging in credit markets with structured derivatives : a quantitative approach using put options

Siggelkow, Constantin - In: Journal of derivatives and quantitative studies : … 32 (2024) 4, pp. 286-322

Persistent link: https://www.econbiz.de/10015173788

Deep partial hedging

Hou, Songyan; Krabichler, Thomas; Wunsch, Marcus - In: Journal of Risk and Financial Management 15 (2022) 5, pp. 1-5

payoff functions that were first derived in the context of partial hedging by Föllmer and Leukert. Not only does this …

Persistent link: https://www.econbiz.de/10014332424

Deep partial hedging

Hou, Songyan; Krabichler, Thomas; Wunsch, Marcus - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-5

payoff functions that were first derived in the context of partial hedging by Föllmer and Leukert. Not only does this …

Persistent link: https://www.econbiz.de/10013273487

Dynamic hedging in incomplete markets using risk measures

Gaillardetz, Patrice; Hachem, Saeb - In: IMA journal of management mathematics 33 (2022) 2, pp. 345-367

Persistent link: https://www.econbiz.de/10012798787

On RVaR-based optimal partial hedging

Melnikov, Alexander; Wan, Hongxi - In: Annals of actuarial science 16 (2022) 2, pp. 349-366

Persistent link: https://www.econbiz.de/10013342143

Evaluation of equity-linked products in the presence of policyholder surrender option using risk-control strategies

Gaillardetz, Patrice; Hachem, Saeb; Moghtadai, Mehran - In: Annals of actuarial science 16 (2022) 1, pp. 25-41

Persistent link: https://www.econbiz.de/10013187283

Multi-purpose binomial model : fitting all moments to the underlying geometric Brownian motion

Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: Economics letters 145 (2016), pp. 225-229

Persistent link: https://www.econbiz.de/10011618437

Partial Hedging in Financial Markets with a Large Agent

Choi, Jungmin; Jonsson, Mattias - In: Applied Mathematical Finance 16 (2009) 4, pp. 331-346

We investigate the partial hedging problem in financial markets with a large agent. An agent is said to be large if his …

Persistent link: https://www.econbiz.de/10008609604

On the existence of an efficient hedge for an American contingent claim within a discrete time market

Perez-hernandez, Leonel - In: Quantitative Finance 7 (2007) 5, pp. 547-551

We show the existence of efficient hedge strategies for an investor facing the problem of a lack of initial capital for implementing a (super-) hedging strategy for an American contingent claim in a general incomplete market. In order to optimize we consider the maximization of the expected...

Persistent link: https://www.econbiz.de/10005462652