Hedging efficiently under correlation

DOI10.1080/14697688.2017.1299201MaRDI QIDQ4555159zbMATH OpenOpenAlexFDO

Authors Roberto Daluiso, Massimo Morini

Publication date 19 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2017.1299201

zbMATH Keywords

correlationcredit value adjustmenthedgingrisk-aversiontransaction costs

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Dynamic hedging of counterparty exposure
• Simultaneous hedging of regulatory and accounting CVA
• MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
• Cross hedging with stochastic correlation
• Hedging (co)variance risk with variance swaps

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• Delta-hedging vega risk?
• Hedging of option portfolios and options on several assets with transaction costs and nonlinear partial differential equations
• Pricing interest-rate-derivative securities
• The herd behavior index: a new measure for the implied degree of co-movement in stock markets

Cited in

(6)

• Efficient hedging: cost versus shortfall risk
• It only takes a few moments to hedge options
• Simultaneous hedging of regulatory and accounting CVA
• Optimal hedging using cointegration
• Hedging options in a doubly Markov-modulated financial market via stochastic flows
• On Carr and Lee's correlation immunization strategy

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