Approximation of CVaR minimization for hedging under exponential-Lévy models (Q2012597): Difference between revisions

@@ Property / Wikidata QID @@
+Q115581077
@@ Property / Wikidata QID: Q115581077 / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2587652230
@@ Property / OpenAlex ID: W2587652230 / rank @@
+Normal rank
@@ Property / cites work @@
+Martingales and arbitrage in multiperiod securities markets
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+Hyperbolic distributions in finance
@@ Property / cites work: Hyperbolic distributions in finance / rank @@
+Normal rank
@@ Property / cites work @@
+Optional decomposition and Lagrange multipliers
@@ Property / cites work: Optional decomposition and Lagrange multipliers / rank @@
+Normal rank
@@ Property / cites work @@
+Lectures on the Mathematics of Finance
@@ Property / cites work: Lectures on the Mathematics of Finance / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
+Normal rank
@@ Property / cites work @@
+Q3815091
@@ Property / cites work: Q3815091 / rank @@
+Normal rank
@@ Property / cites work @@
+On Square Integrable Martingales
@@ Property / cites work: On Square Integrable Martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic programming and mean-variance hedging
@@ Property / cites work: Dynamic programming and mean-variance hedging / rank @@
+Normal rank
@@ Property / cites work @@
+On \(L^2\)-projections on a space of stochastic integrals
+Normal rank
@@ Property / cites work @@
+Mean-Variance Hedging and Numeraire
@@ Property / cites work: Mean-Variance Hedging and Numeraire / rank @@
+Normal rank
@@ Property / cites work @@
+Variance-optimal hedging for processes with stationary independent increments
+Normal rank
@@ Property / cites work @@
+Quantile hedging
@@ Property / cites work: Quantile hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Maximizing the probability of a perfect hedge
@@ Property / cites work: Maximizing the probability of a perfect hedge / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient hedging: cost versus shortfall risk
@@ Property / cites work: Efficient hedging: cost versus shortfall risk / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient hedging with coherent risk measure
@@ Property / cites work: Efficient hedging with coherent risk measure / rank @@
+Normal rank
@@ Property / cites work @@
+Convex Hedging in Incomplete Markets
@@ Property / cites work: Convex Hedging in Incomplete Markets / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic hedging of conditional value-at-risk
@@ Property / cites work: Dynamic hedging of conditional value-at-risk / rank @@
+Normal rank
@@ Property / cites work @@
+Q2752044
@@ Property / cites work: Q2752044 / rank @@
+Normal rank
@@ Property / cites work @@
+VAR-BASED OPTIMAL PARTIAL HEDGING
@@ Property / cites work: VAR-BASED OPTIMAL PARTIAL HEDGING / rank @@
+Normal rank
@@ Property / cites work @@
+Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
+Normal rank
@@ Property / cites work @@
+Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
+Normal rank
@@ Property / cites work @@
+Dynamic Minimization of Worst Conditional Expectation of Shortfall
+Normal rank
@@ Property / cites work @@
+Quantile hedging for equity-linked contracts
@@ Property / cites work: Quantile hedging for equity-linked contracts / rank @@
+Normal rank
@@ Property / cites work @@
+Quantile hedging and its application to life insurance
+Normal rank
@@ Property / cites work @@
+Q2742565
@@ Property / cites work: Q2742565 / rank @@
+Normal rank
@@ Property / cites work @@
+Quantile hedging for guaranteed minimum death benefits
+Normal rank
@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Q4223075
@@ Property / cites work: Q4223075 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized Neyman-Pearson lemma via convex duality.
+Normal rank
@@ Property / cites work @@
+Coherent hedging in incomplete markets
@@ Property / cites work: Coherent hedging in incomplete markets / rank @@
+Normal rank
@@ Property / cites work @@
+Testing composite hypotheses via convex duality
@@ Property / cites work: Testing composite hypotheses via convex duality / rank @@
+Normal rank
@@ Property / cites work @@
+On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
+Normal rank
@@ Property / cites work @@
+Q4221330
@@ Property / cites work: Q4221330 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3703086
@@ Property / cites work: Q3703086 / rank @@
+Normal rank
@@ Property / cites work @@
+Saddlepoint methods for option pricing
@@ Property / cites work: Saddlepoint methods for option pricing / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2012597