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Commodities momentum : a behavioral perspective

Bianchi, Robert; Drew, Michael E.; Fan, John Hua - In: Journal of banking & finance 72 (2016), pp. 133-150

Persistent link: https://www.econbiz.de/10011635502

The information content of the term structure of risk-neutral skewness

Borochin, Paul; Chang, Hao; Wu, Yangru - In: Journal of empirical finance 58 (2020), pp. 247-274

Persistent link: https://www.econbiz.de/10012430679

Hedging long-term liabilities

Quaedvlieg, Rogier; Schotman, Peter C. - In: Journal of financial econometrics 20 (2022) 3, pp. 505-538

Persistent link: https://www.econbiz.de/10013349137

A Term Structure Model and the Pricing of Interest Rate Derivative

Sandmann, K.; Sondermann, D. - University of Bonn, Germany - 1993

The paper developes a general arbitrage free model for the term structure of interest rates. The principal model is formulated in a discrete time structure. It differs substantially from the Ho--Lee-- Model (1986) and does not generate negative spot and forward rates. The results for the...

Persistent link: https://www.econbiz.de/10005032172

Term Structure Models of Commodity Prices: A Review.

Lautier, Delphine - Université Paris-Dauphine - 2005

prices, are presented. The fourth section examines the two main applications of term structure models: hedging and valuation …

Persistent link: https://www.econbiz.de/10008790066

Term Structure Models of Commodity Prices: A Review

Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2005

prices, are presented. The fourth section examines the two main applications of term structure models: hedging and valuation …

Persistent link: https://www.econbiz.de/10011166285

Finance without probabilistic prior assumptions

Riedel, Frank - 2011

endogenously as full support martingale measures (instead of equivalent martingale measures). A variant of the Harrison …

Persistent link: https://www.econbiz.de/10010319970

Martingale approach in pricing and hedging European options under regime-switching

Milstein, Grigori N.; Spokoiny, Vladimir - 2011

The paper focuses on the problem of pricing and hedging a European contingent claim for an incomplete market model, in … function is evaluated using the martingale approach. The equivalent martingale measure is introduced in a way that the Markov …

Persistent link: https://www.econbiz.de/10010281592

Option hedging for semimartingales

Schweizer, Martin - 1989

Persistent link: https://www.econbiz.de/10000757518

Mean-Variance Hedging via Stochastic Control and BSDEs for General Semimartingales

Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; … - National Centre of Competence in Research - Financial … - 2011

We solve the problem of mean-variance hedging for general semimartingale modelsvia stochastic control methods. After … describe the optimaltrading strategy for each conditional mean-variance hedging problem. For comparisonwith the existing …

Persistent link: https://www.econbiz.de/10009486968