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Practical applications of evolutionary computation to financial engineering : robust techniques for forecasting, trading and hedging
Iba, Hitoshi; Aranha, Claus C. - 2012 - 1., Aufl.
Persistent link: https://www.econbiz.de/10009522784
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Partial hedging in financial markets with a large agent
Choi, Jungmin; Jonsson, Mattias - In: Applied mathematical finance 16 (2009) 3/4, pp. 331-346
Persistent link: https://www.econbiz.de/10003916193
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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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Hedging and portfolio optimization in illiquid financial markets
Bank, Peter; Baum, Dietmar - 2002
analysis relies on the non-linear integration theory of such semimartingale families. The Itô-Wentzell formula is used to prove …
Persistent link: https://www.econbiz.de/10009625800
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Risikominimierung in Finanzmärkten unter Berücksichtigung von Transaktionskosten
Beutner, Eric - 2005
Persistent link: https://www.econbiz.de/10002896461
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Weak convergence of financial markets
Prigent, Jean-Luc - 2003
Persistent link: https://www.econbiz.de/10001704709
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Financial market risk : measurement and analysis
Los, Cornelis Albertus - 2003 - 1. publ.
Persistent link: https://www.econbiz.de/10001711450
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Efficient Versus Inefficient Hedging Strategies in the Presence of Financial and Longevity (Value at) Risk
Luciano, Elisa - 2014
that hedging strategies -- such as the transfer of longevity risk -- may increase the overall risk while decreasing … gives conditions under which hedging policies become inefficient …
Persistent link: https://www.econbiz.de/10013046884
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Beta instability and implications for hedging systematic risk : takeaways from the COVID-19 crisis
Dor, Arik Ben; Florig, Stephan; Guan, Jingling; Zeng, … - In: The journal of portfolio management : JPM 47 (2021) 6, pp. 139-155
Persistent link: https://www.econbiz.de/10012517348