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Hedging incentives for financial institutions
Weert, Frans J. de - In: Journal of risk 22 (2019/2020) 3, pp. 1-20
Persistent link: https://www.econbiz.de/10013177132
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Benchmarked risk minimization
Du, Ke; Platen, Eckhard - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 617-637
Persistent link: https://www.econbiz.de/10011583786
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Portfolio insurance and volatility : on the robustness of the Black-Scholes option pricing model
Frey, Rüdiger - 1993
Persistent link: https://www.econbiz.de/10000873425
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Risk minimizing hedging strategies under restricted information
Schweizer, Martin - 1993
Persistent link: https://www.econbiz.de/10000880233
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Pricing and hedging European options with discrete-time coherent risk
Cherny, Alexander S. - In: Finance and stochastics 11 (2007) 4, pp. 537-569
Persistent link: https://www.econbiz.de/10003645530
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Equations of Hamilton-Jacobi type and their applications in finance
Nayak, Suhas R. - 2006
Persistent link: https://www.econbiz.de/10003965678
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Best-estimates in bond markets with reinvestment risk
MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276
The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...
Persistent link: https://www.econbiz.de/10011300314
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Consumption, inflation risk and dynamic hedging
Schubert, Stefan Franz; Broll, Udo - In: Contemporary economics 9 (2015) 2, pp. 171-179
. Optimal consumption and risk management strategies are derived. It is shown that dynamic hedging increases an investor …
Persistent link: https://www.econbiz.de/10011306018
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Lévy betas : static hedging with index futures
Wong, Hoi Ying; Cheung, Edwin Kwan Hung; Wong, Shiu Fung - In: The journal of futures markets 32 (2012) 11, pp. 1034-1059
Persistent link: https://www.econbiz.de/10009697814