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Risk-minimization hedging unde...
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ECONIS (ZBW)
26
RePEc
8
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7
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1
Dotted Representations of Mean-Variance Efficient Frontiers and their Computation
Levchenkov, Dmitriy
;
Coleman, Thomas F
;
Li, Yuying
- In:
INFOR : information systems and operational research
47
(
2009
)
1
,
pp. 15-23
Persistent link: https://www.econbiz.de/10008376158
Saved in:
2
Estimating a hedge fund return model based on a small number of samples
Levchenkov, Dmitriy
;
Coleman, Thomas F.
;
Li, Yuying
- In:
INFOR : information systems and operational research
47
(
2009
)
1
,
pp. 43-58
Persistent link: https://www.econbiz.de/10003959539
Saved in:
3
Discrete hedging of American-type options using local risk minimization
Coleman, Thomas F.
;
Levchenkov, Dmitriy
;
Li, Yuying
- In:
Journal of banking & finance
31
(
2007
)
11
,
pp. 3398-3419
Persistent link: https://www.econbiz.de/10003577412
Saved in:
4
Risk-minimization hedging under nonoptimal exercising
Levchenkov, Dmitriy
;
Coleman, Thomas F.
;
Li, Yuying
- In:
Journal of risk
13
(
2010/11
)
4
,
pp. 63-93
Persistent link: https://www.econbiz.de/10009233505
Saved in:
5
Calibrating volatility function bounds for an uncertain volatility model
Coleman, Thomas F
;
He, Changhong
;
Li, Yuying
- In:
The journal of computational finance
13
(
2010
)
4
,
pp. 63-95
Persistent link: https://www.econbiz.de/10008437013
Saved in:
6
Optimal execution under jump models for uncertain price impact
Moazeni, Somayeh
;
Coleman, Thomas F
;
Li, Yuying
- In:
The journal of computational finance
16
(
2013
)
4
,
pp. 35-78
Persistent link: https://www.econbiz.de/10010152592
Saved in:
7
Discrete hedging of American-type options using local risk minimization
Coleman, Thomas F.
;
Levchenkov, Dmitriy
;
Li, Yuying
- In:
Journal of Banking & Finance
31
(
2007
)
11
,
pp. 3398-3419
Persistent link: https://www.econbiz.de/10005201787
Saved in:
8
Discrete hedging of American-type options using local risk minimization
Coleman, Thomas F.
;
Levchenkov, Dmitriy
;
Li, Yuying
- In:
Journal of banking & finance
31
(
2007
)
11
,
pp. 3398-3419
Persistent link: https://www.econbiz.de/10007869920
Saved in:
9
Robustly hedging variable annuities with guarantees under jump and volatility risks
Coleman, T. F.
;
Kim, Y.
;
Li, Yuying
;
Patron, M.
- In:
The journal of risk and insurance : the journal of the …
74
(
2007
)
2
,
pp. 347-376
Persistent link: https://www.econbiz.de/10003483852
Saved in:
10
Calibration and hedging under jump diffusion
He, Changhong
;
Kennedy, J. S.
;
Coleman, T. F.
;
Forsyth, …
- In:
Review of derivatives research
9
(
2006
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10003441126
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