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Hedging price risk when payment dates are uncertain

Korn, Olaf - 2009 - Current Version: February 2009

This paper studies the hedging of price risk when payment dates are uncertain, a problem that frequently occurs in … static hedging strategy is sufficient. -- risk management ; hedging ; forwards ; uncertainty of time …

Persistent link: https://www.econbiz.de/10009526497

Price as a choice under nonstochastic randomness in finance

Ivanenko, Yaroslav; Munier, Bertrand - In: Risk and decision analysis 4 (2013) 3, pp. 191-205

Persistent link: https://www.econbiz.de/10010190155

Robust portfolio selection problem under temperature uncertainty

Gülpınar, Nalân; Çanakoḡlu, Ethem - In: European journal of operational research : EJOR 256 (2017) 2, pp. 500-523

Persistent link: https://www.econbiz.de/10011612035

Risk and ambiguity in 10-Ks : an examination of cash holding and derivatives use

Friberg, Richard; Seiler, Thomas - In: The journal of corporate finance : contracting, … 45 (2017), pp. 608-631

Persistent link: https://www.econbiz.de/10011760969

Pricing interest rate derivatives under volatility uncertainty

Holzermann, Julian - 2020

We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion, which drives the forward rate dynamics. The absence...

Persistent link: https://www.econbiz.de/10012175590