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Dynamic hedging in incomplete markets using risk measures
Gaillardetz, Patrice; Hachem, Saeb - In: IMA journal of management mathematics 33 (2022) 2, pp. 345-367
Persistent link: https://www.econbiz.de/10012798787
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Deep partial hedging
Hou, Songyan; Krabichler, Thomas; Wunsch, Marcus - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-5
payoff functions that were first derived in the context of partial hedging by Föllmer and Leukert. Not only does this … approach better accommodate the realistic setting of hedging in discrete time, it also allows for the inclusion of transaction …
Persistent link: https://www.econbiz.de/10013273487
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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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Dynamic Asset Allocation : Portfolio Decomposition Formula and Applications
Detemple, Jerome - 2010
hedging demand has two components. The first hedge insures against fluctuations in an optimally designed bond with a maturity …
Persistent link: https://www.econbiz.de/10013148694
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Alternative hedging in a discrete-time incomplete market
Josephy, Norman H.; Kimball, Lucia; Steblovskaya, Victoria - In: Journal of risk 16 (2013/2014) 1, pp. 85-117
Persistent link: https://www.econbiz.de/10013262917
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Dynamic mean-variance asset allocation
Başak, Suleyman; Chabakauri, Georgy - In: The review of financial studies 23 (2010) 8, pp. 2970-3016
Persistent link: https://www.econbiz.de/10008662068
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Pricing and hedging in incomplete financial markets
Würth, Andreas Martin - 2009
Persistent link: https://www.econbiz.de/10003845634
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Human capital and international portfolio diversification : a reappraisal
Bretscher, Lorenzo; Julliard, Christian; Rosa, Carlo - In: Journal of international economics 99 (2016), pp. 78-96
Persistent link: https://www.econbiz.de/10011655069
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Equilibrium models for derivatives markets with frictions
Zhang, Yuan - 2018
Mots-clés de l'auteur: Market Structure ; Market Power ; Risk Imbalance ; Hedging Pressure ; Option Liquidity ; Risk …
Persistent link: https://www.econbiz.de/10011933412
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Deep hedging
Buehler, Hans; Gonon, Lukas; Teichmann, Josef; Wood, Ben - In: Quantitative finance 19 (2019) 8, pp. 1271-1291
Persistent link: https://www.econbiz.de/10012194788