Hedging of fixing exposure

DOI10.1111/MAFI.12464MaRDI QIDQ6924114zbMATH OpenFDO

Authors Johannes Muhle-Karbe, Roel C. A. Oomen, Benjamin Weber

Publication date 30 September 2025

Published in Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1111/MAFI.12464

Mathematics Subject Classification ID

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

Cites work

• Hedging with physical or cash settlement under transient multiplicative price impact
• Optimal execution in Hong Kong given a market-on-close benchmark
• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
• VWAP execution and guaranteed VWAP

This page was built for publication: Hedging of fixing exposure

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6924114)