Methods of partial hedging

DOI10.1023/A:1010054408714MaRDI QIDQ1012315zbMATH OpenOpenAlexFDO

Authors Jakša Cvitanić

Publication date 15 April 2009

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1010054408714

zbMATH Keywords

margin requirementsmeasures of riskpartial hedging

Mathematics Subject Classification ID

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

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(17)

• Maximizing the probability of a perfect hedge
• Partial super-hedging of derivatives with model risk
• On infinite-horizon minimum-cost hedging under cone constraints
• On dynamic measure of risk
• Best-estimate claims reserves in incomplete markets
• Partial hedging for defaultable claims
• Optimal partial hedging using coherent measure of risk
• Minimal-variance hedging in large financial markets: random fields approach
• Partial hedging in financial markets with a large agent
• scientific article; zbMATH DE number 2072560 (Why is no real title available?)
• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
• scientific article; zbMATH DE number 1539033 (Why is no real title available?)
• Optimal hedging for fund and insurance managers with partially observable investment flows
• VaR-based optimal partial hedging
• On the existence of an efficient hedge for an American contingent claim within a discrete time market
• Hedging bounded claims with bounded outcomes
• On optimal partial hedging in discrete markets

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