Search results
From MaRDI portal
- A new computational tool for analysing dynamic hedging under transaction costs 2008-08-07 Paper Dynamic hedging of single and multi-dimensional options...10 bytes (18 words) - 17:24, 8 December 2023
- 2011-05-17 Paper PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES 2011-04-27 Paper Dynamic hedging of synthetic CDO tranches...10 bytes (16 words) - 15:34, 12 December 2023
- Publication Date of Publication Type Dynamic hedging in currency crisis 1999-04-28 Paper Growth, inflation and the exchange rate regime 1997-02-28 Paper...10 bytes (16 words) - 16:52, 12 December 2023
- formulas for the minimal variance hedging strategy in a martingale case 2010-04-26 Paper Measuring the error of dynamic hedging: a Laplace transform approach...10 bytes (16 words) - 00:47, 13 December 2023
- decompositions, with applications to variable annuities 2023-07-13 Paper Dynamic hedging in incomplete markets using risk measures 2022-03-22 Paper Valuation...10 bytes (16 words) - 10:52, 6 October 2023
- portmanteau tests for randomness of a time series 2008-11-26 Paper Dynamic hedging effectiveness in South Korean index futures and the impact of the Asian...10 bytes (18 words) - 16:22, 12 December 2023
- Publication Date of Publication Type A Framework for Dynamic Hedging under Convex Risk Measures 2012-08-24 Paper...10 bytes (16 words) - 11:18, 7 October 2023
- Date of Publication Type Market Volatility and Feedback Effects from Dynamic Hedging 2001-03-29 Paper...10 bytes (16 words) - 12:31, 7 October 2023
- Publication Type A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility 2016-04-25 Paper...10 bytes (16 words) - 20:09, 6 October 2023
- Publication Type A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility 2016-04-25 Paper...10 bytes (16 words) - 20:09, 6 October 2023
- Publication Date of Publication Type Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk 2020-09-28 Paper...10 bytes (16 words) - 13:47, 28 January 2024
- Publication Date of Publication Type Optimal dynamic hedging via copula-threshold-GARCH models 2009-06-18 Paper...10 bytes (16 words) - 21:16, 21 September 2023
- Publication Date of Publication Type Dynamic hedging with futures: a copula-based GARCH model with high-frequency data 2019-01-23 Paper...10 bytes (18 words) - 19:03, 24 September 2023
- Date of Publication Type Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality 2013-02-05 Paper...10 bytes (18 words) - 14:16, 24 September 2023
- Publication Date of Publication Type Dynamic hedging effectiveness in South Korean index futures and the impact of the Asian financial crisis 2003-12-09...10 bytes (16 words) - 15:50, 24 September 2023
- Publication Type Dynamic option hedging with transaction costs: A stochastic model predictive control approach 2019-11-01 Paper Dynamic option hedging via stochastic...10 bytes (16 words) - 22:28, 27 December 2023
- Date of Publication Type The optimal dynamic hedging strategy for Nikkei 225 index and futures 2008-07-11 Paper Hedging with S&P500 and E-mini S&P500 stock...10 bytes (18 words) - 05:33, 7 October 2023
- Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time 2020-03-11 Paper A survey of time consistency of dynamic risk measures...10 bytes (19 words) - 00:39, 9 December 2023
- Publication Date of Publication Type Dynamic Hedging of Portfolio Credit Derivatives 2011-02-10 Paper Default Intensities Implied by CDO Spreads: Inversion...10 bytes (18 words) - 08:15, 7 October 2023
- Publication Date of Publication Type Dynamic hedging portfolios for derivative securities in the presence of large transaction costs 2021-06-18 Paper Managing...10 bytes (16 words) - 01:03, 28 December 2023
