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Pricing index options by static hedging under finite liquidity
Armstrong, John; Pennanen, Teemu; Rakwongwan, Udomsak - In: International journal of theoretical and applied finance 21 (2018) 6, pp. 1-18
Persistent link: https://www.econbiz.de/10011926583
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A stochastic oil price model for optimal hedging and risk management
Pennanen, Teemu; Bonatto, Luciane Sbaraini - In: International journal of theoretical and applied … 25 (2022) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10013189999
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Coherent risk measures alone are ineffective in constraining portfolio losses
Armstrong, John; Brigo, Damiano - In: Journal of banking & finance 140 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10013463123